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Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs

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  • Arthur Hau

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  • Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
    • Handle: RePEc:kap:jfsres:v:39:y:2011:i:1:p:71-94
    DOI: 10.1007/s10693-010-0083-6
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    More about this item

    Keywords

    Pricing of bank loan commitments; Liquidity needs; Bank liquidity reserve holding; G12; G21;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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