Pricing the credit-risk put embedded in borrowers' extendible credit commitments, with its application to Basel-3 micro-prudential regulation
Year of publication: |
November 2016
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Authors: | Chateau, Jean-Pierre D. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 5, p. 747-769
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Subject: | Extendible Put and Extension Premium Embedded in Once-Extendible Commitments | Capital Charge for the Credit-Risk Exposure of Extendible Commitments | Cost of Borrower's Rating Downgrade Based on a Credit-Rating Migration Matrix | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | USA | United States | Theorie | Theory | Risikoprämie | Risk premium |
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