Similar Search Results

On DFIs' liability management : deposit capacity, multideposit supply, and risk-efficient rate setting

Chateau, John Peter D. - 1982

Persistent link: https://www.econbiz.de/10003622363

Credit rationing as a temporary disequilibrium with imperfect information

Chateau, John Peter D. - 1982

Persistent link: https://www.econbiz.de/10004091374

On DFIs'liability management : deposit capacity, multideposit supply and risk-efficient rate setting

Chateau, John Peter D. - 1982

Persistent link: https://www.econbiz.de/10004718536

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

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/10005221882

The demand for and supply of deposits by credit unions : The Caisses Populaires' case reply and comments

Chateau, John-Peter D. - In: Journal of Banking & Finance 7 (1983) 2, pp. 289-293

Persistent link: https://www.econbiz.de/10005201748

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

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. 260-270

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/10008482964

Valuation of 'capped' variable rate loan commitments

Chateau, John-Peter D. - In: Journal of Banking & Finance 14 (1990) 4, pp. 717-728

Persistent link: https://www.econbiz.de/10005194406