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Bank lending and interest-rate derivatives
Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011781357
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The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139
Persistent link: https://www.econbiz.de/10012023932
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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
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LIBOR Floors in Leveraged Loans
Arscott, Robert - 2018
The use of LIBOR floors in U.S. leveraged (syndicated) loans is examined. These options, rare prior to 2008, provide a minimum interest rate on these otherwise floating rate loans. This contract design is consistent with theory that suggests lenders prefer more fixed rate assets while interest...
Persistent link: https://www.econbiz.de/10012932024
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Credit derivatives and loan yields
Azam, Nimita; Mamun, Abdullah al; Tannous, George F. - In: The financial review : the official publication of the … 57 (2022) 1, pp. 205-241
Persistent link: https://www.econbiz.de/10012819512
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Derivation of a stochastic loan repayment model for valuing a revenue-based loan contract
Mazengera, Hassan - In: Annals of financial economics 12 (2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011853470
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Managing the risk of embedded options in non-traded credit using portfolio modeling
Engelmann, Bernd - In: International journal of financial engineering 10 (2023) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10014444472
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A note on credit spread forwards
Hertrich, Markus - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 77-78
Persistent link: https://www.econbiz.de/10011720963
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Interest-rate uncertainty, derivatives usage, and loan growth in bank holding companies
Brewer, Elijah; Deshmukh, Sanjay; Opiela, Timothy P. - In: Journal of financial stability 15 (2014), pp. 230-240
Persistent link: https://www.econbiz.de/10011306454
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Does the LIBOR Reflect Banks' Borrowing Costs?
Snider, Connan Andrew - 2010
average bank borrowing costs, it's ostensible target. In this paper we provide two types of evidence that this is the case. We … first show that bank quotes in the Libor survey are difficult to rationalize by observable cost measures, including a given … bank's quotes in other currency panels. Our second type of evidence is based on a simple model of bank quote choices in the …
Persistent link: https://www.econbiz.de/10013146864