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

Chateau, Jean-Pierre 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/10003936604

Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments

Chateau, Jean-Pierre D. - In: International review of financial analysis 16 (2007) 5, pp. 412-433

Persistent link: https://www.econbiz.de/10003612960

Basel-2 capital adequacy : computing the "fair" capital charge for loan commitment "true" credit risk

Chateau, Jean-Pierre D.; Wu, J. - In: International review of financial analysis 16 (2007) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10003407483

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. 159-182

Persistent link: https://www.econbiz.de/10007166169

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/10007392031

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/10007882011

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. 260-271

Persistent link: https://www.econbiz.de/10008891784