Bank Loan Commitments and Interest Rate Volatility

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

Finance from University Library of Munich, Germany

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)
Pages: 14 pages
Date: 2004-11-30
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 14
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0411/0411050.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).