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...

This research aims to bring some internal consistency to the computation of the credit-risk capital charge of loan commitments and commercial spot loans, namely the components of the commercial credit continuum. Consistency is achieved by using commitment credit risk (as for commercial-loan...

The aim of the study is to explain Quebec major credit union's deposit market by way of integrating its public demand function with the institution's rate-setting operation. The demand for Caisses' deposits is specified as a dynamic stock adjustment model. On the other hand, the intermediary's...

The financial model presented in the article attempts to further integrate capital budgeting into the firm's overall financial planning policy. Although it is an extension and generalization of Bernhard and Weingartner's previous models, it differs from these works by some basic assumptions...

Considering the Caisses populaires as a financial system, we propose an econometric model of its consolidated balance sheet built around the following four major blocks. The first one presents a dynamic sub-model of the Caisses' asset portfolio, which emphasizes their intermediation among assets...