Similar Search Results

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

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

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