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Pricing the credit-risk put embedded in borrowers' extendible credit commitments, with its application to Basel-3 micro-prudential regulation

Chateau, Jean-Pierre D. - In: Journal of mathematical finance 6 (2016) 5, pp. 747-769

Persistent link: https://www.econbiz.de/10011657612

Basel-2 capital adequacy: Computing the `fair' capital charge for loan commitment `true' credit risk

Chateau, J.-P.; Wu, J. - In: International Review of Financial Analysis 16 (2007) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10005221882

The demand for and supply of deposits by credit unions : The Caisses Populaires' case reply and comments

Chateau, John-Peter D. - In: Journal of Banking & Finance 7 (1983) 2, pp. 289-293

Persistent link: https://www.econbiz.de/10005201748

Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach

Chateau, John-Peter D. - In: International Review of Financial Analysis 18 (2009) 5, pp. 260-270

Within a marking-to-model framework, this research computes the bank's capital charge for credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in three steps. The first one prices commitment credit risk as a Gram-Charlier put value and determines the...

Persistent link: https://www.econbiz.de/10008482964

Valuation of 'capped' variable rate loan commitments

Chateau, John-Peter D. - In: Journal of Banking & Finance 14 (1990) 4, pp. 717-728

Persistent link: https://www.econbiz.de/10005194406

Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments

Chateau, John-Peter D. - In: International Review of Financial Analysis 16 (2007) 5, pp. 412-433

Persistent link: https://www.econbiz.de/10005221926

The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications

Chateau, J. -P.; Dufresne, D. - In: International Review of Financial Analysis 11 (2002) 2, pp. 159-181

Persistent link: https://www.econbiz.de/10005221773

The demand for and supply of deposits by credit unions : The Caisses populaires' case

Chateau, Jean-Pierre D. - In: Journal of Banking & Finance 4 (1980) 2, pp. 151-173

Persistent link: https://www.econbiz.de/10005194381

La politique de distribution de dividendes des societes: une etude microeconometrique. (A Microeconometric Study of Canadian Corporate Dividend Policy. With English summary.)

Chateau, Jean-Pierre D. - In: Canadian Journal of Economics 9 (1976) 2, pp. 255-77

Persistent link: https://www.econbiz.de/10005466961

Liability management of financial intermediaries in a dynamic and uncertain perspective

Chateau, John Peter D. - In: European Economic Review 27 (1985) 2, pp. 183-200

Persistent link: https://www.econbiz.de/10005143466