Banks'regulatory capital requirement: pricing the credit risk of short-term loan commitments

D. Dufresne and J.p Chateau
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J.p Chateau: Pôle de Recherche - Rouen Business School - Rouen Business School

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Keywords: commitment put value; commitment net value; bank's exposure to commitment credit risk; BIS regulatory capital requirement (search for similar items in EconPapers)
Date: 2000
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Published in 2000

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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00605718

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