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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

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

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

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

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

The hedging dimension of intermediation : credit lines as forward contracts

Chateau, Jean-Pierre D. - 1983

Persistent link: https://www.econbiz.de/10001997973

Basel-2 capital adequacy : computing the "fair" capital charge for loan commitment "true" credit risk

Chateau, Jean-Pierre D.; Wu, J. - In: International review of financial analysis 16 (2007) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10003407483

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

The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications

Chateau, Jean-Pierre D.; Dufresne, D. - In: International review of financial analysis 11 (2002) 2, pp. 159-181

Persistent link: https://www.econbiz.de/10001715955

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