Bank Loan Commitments and Interest Rate Volatility

Anjan V. Thakor (), Hai Hong and Stuart I. Greenbaum
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Hai Hong: Singapore University
Stuart I. Greenbaum: Washington University in St. Louis

Finance from EconWPA

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.

JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-11-30
Note: Type of Document - pdf; pages: 14
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http://129.3.20.41/eps/fin/papers/0411/0411050.pdf (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411050

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