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A contingent claim analysis of a rate-setting financial intermediary

Lin, Jyh-horng - In: International review of economics & finance : IREF 9 (2000) 4, pp. 375-386

Persistent link: https://www.econbiz.de/10001538884

Measuring provisions for collateralised retail lending

Hui, Cho H.; Lo, C. F.; Wong, T. C.; Man, P. K. - In: Journal of economics & business 58 (2006) 4, pp. 343-361

Persistent link: https://www.econbiz.de/10003344340

Are banks happy when managers go long? : the information content of managers' vested option holdings for loan pricing

Dezsö, Cristian L.; Ross, David Gaddis - In: Journal of financial economics 106 (2012) 2, pp. 395-410

Persistent link: https://www.econbiz.de/10009666527

A barrier option utility framework for bank interest margin under government bailout

Lin, Ku Jun; Jou, Rosemary; Lin, Tzu-Hao - In: International journal of financial research 5 (2014) 4, pp. 144-154

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Default probability of a captive credit bank with government capital injections : a capped barrier option approach

Chang, Chuen-ping - In: Economic modelling 29 (2012) 6, pp. 2444-2450

Persistent link: https://www.econbiz.de/10009673700

Collateral and credit supply

Atta-Mensah, Joseph - 2003

Persistent link: https://www.econbiz.de/10001754880

Securities Lending Strategies, Valuation of Term Loans using Option Theory

Kashyap, Ravi - 2017

We develop models to price long term loans in the securities lending business. These longer horizon deals can be viewed as contracts with optionality embedded in them and can be priced using established methods from derivatives theory, becoming to our limited knowledge, the first application...

Persistent link: https://www.econbiz.de/10012968421

Securities Lending Strategies, Valuation of Term Loans Using Option Theory (Presentation Slides)

Kashyap, Ravi - 2016

Persistent link: https://www.econbiz.de/10012979246

Credit line pricing under heterogeneous risk beliefs

Koussis, Nicos; Martzoukos, Spiros A. - In: International journal of production economics 243 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013197645

Speed-up credit exposure calculations for pricing and risk management

Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499

Persistent link: https://www.econbiz.de/10012483835