Valuing Federal Loans and Loan Guarantees Using Options-Pricing Methods: Technical Paper 2004-12

Deborah Lucas, Marvin Phaup and Ravi Prasad

No 15937, Working Papers from Congressional Budget Office

Abstract: This paper provides more detail about the methods used in the Congressional Budget Office (CBO) study, "Estimating Subsidies for Federal Loans and Guarantees," (August 2004). That study estimates the market value of loans and loan guarantees under both credit reform and risk-adjusted approaches. The purpose of this paper is to increase the transparency of those methods for analysts who may wish to adopt them. Although this paper includes a brief overview of the basics, it is not a substitute for a textbook on options pricing. Rather, the discussion

Date: 2004-08-04
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Persistent link: https://EconPapers.repec.org/RePEc:cbo:wpaper:15937

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