Basle II capital adequacy: computing the "fair" capital charge for loan commitment "true" credit risk

J.p Chateau and Jian Wu
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J.p Chateau: Pôle de Recherche - Rouen Business School - Rouen Business School
Jian Wu: Pôle Finance Responsable - Rouen Business School - Rouen Business School

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Keywords: put option embedded in borrower-extendible commitments; exercise-cum-takedown proportion; fair capital charge for commitment true credit risk; put implicite aux engagements extensibles; proportion du crédit réellement tirée et charge en capital équitable pour le risque réel de crédit (search for similar items in EconPapers)
Date: 2002
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Published in 2002

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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00605020

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