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Bank Loan Commitments and Interest Rate Volatility

Author

Listed:
  • Anjan V. Thakor

    (Washington University in St. Louis)

  • Hai Hong

    (Singapore University)

  • Stuart I. Greenbaum

    (Washington University in St. Louis)

Abstract

Bank loan commitments are examined in the context of option pricing models and a valuation formula is obtained. The partial takedown phenomenon, which is both distinctive and vexatious, is considered in detail. Finally, extimates of the value of U.S. bank loan commitments and their sensitivity to interest rate changes are provided.

Suggested Citation

  • Anjan V. Thakor & Hai Hong & Stuart I. Greenbaum, 2004. "Bank Loan Commitments and Interest Rate Volatility," Finance 0411050, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0411050
    Note: Type of Document - pdf; pages: 14
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0411/0411050.pdf
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    Cited by:

    1. George W. Kutner & James A. Seifert, 1989. "The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 13-20.
    2. Sofianos, George & Wachtel, Paul & Melnik, Arie, 1990. "Loan commitments and monetary policy," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 677-689, October.
    3. O. Emre Ergungor, 2000. "Relationship loans and information exploitability in a competitive market: loan commitments vs. spot loans," Working Papers (Old Series) 0013, Federal Reserve Bank of Cleveland.

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    JEL classification:

    • G - Financial Economics

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