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Pricing the stochastic volatility put option of banks' credit line commitments
Chateau, Jean-Pierre D.; Dufresne, Daniel - 1998
Persistent link: https://www.econbiz.de/10000998682
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Valuation of "capped" variable rate loan commitments
Chateau, Jean-Pierre D. - In: Journal of banking & finance 14 (1990) 4, pp. 717-728
Persistent link: https://www.econbiz.de/10001096402
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Pricing the credit-risk put embedded in borrowers' extendible credit commitments, with its application to Basel-3 micro-prudential regulation
Chateau, Jean-Pierre D. - In: Journal of mathematical finance 6 (2016) 5, pp. 747-769
Persistent link: https://www.econbiz.de/10011657612
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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
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Valuing European put options under skewness and increasing [excess] kurtosis
Chateau, Jean-Pierre D. - In: Journal of mathematical finance 4 (2014) 3, pp. 160-177
Persistent link: https://www.econbiz.de/10010400109
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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
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Financement dynamique des intermédiaires financiers : l'effet de la volatilit ́du taux de crédit sur les dépôts de base
Chateau, Jean-Pierre D. - In: L' Actualité économique : revue trimest. 66 (1990) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10001098017
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Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la "valeur de modèle" le risque de crédit des engagements de...
Chateau, Jean-Pierre D. - In: L' Actualité économique : revue trimest. 87 (2011) 4, pp. 445-479
Persistent link: https://www.econbiz.de/10009632986
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Liability management of financial intermediaries in a dynamic and uncertain perspective
Chateau, Jean-Pierre D. - In: European economic review : EER 27 (1985) 1, pp. 183-200
Persistent link: https://www.econbiz.de/10001090627
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Core deposits, convex adjustment costs, and the dynamic behavior of the intermediary under rate uncertainty
Chateau, Jean-Pierre D. - 1983
Persistent link: https://www.econbiz.de/10012015582