Toward a Theory of Bank Loan Commitments

Anjan Thakor ()

Finance from University Library of Munich, Germany

Abstract: The characteristics of fixed and variable rate bank loan commitments are analyzed in a contingent-claims framework, and valuation expressions are derived for these commitments. The valuation expressions are used to present estimates of the impact of interest rate uncertainty on the liability assumed by a bank issuing loan commitments. Finally, a simple, two-period, asymmetric information model is employed to explain the recent trend among bankers to substitute variable rate commitments for their fixed rate counterparts.

JEL-codes: G (search for similar items in EconPapers)
Pages: 29 pages
Date: 2004-11-30
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 29
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Toward a theory of bank loan commitments (1982)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411048

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