Papers by Hai Nguyen Hong
Journal of Banking & Finance, 1981
Bank loan commitments are examined in the context of option pricing models and a valuation formul... more Bank loan commitments are examined in the context of option pricing models and a valuation formula is obtained. The partial takedown phenomenon, which is both distinctive and vexatious, is considered in detail. Finally, estimates of the value of U.S. bank loan commitments and their sensitivity to interest rate changes are provided. *The authors gratefully acknowledge the helpful suggestions of George Kanatas and an anonymous referee. Financial support for this project was provided by Northwestern University's Banking Research Center. 'As of year-end 1978, unused formal loan commitments at larger commercial banks in the U.S. were approximately S200 billion, or 15 percent of the banking system's footings. At the same time, loans made under commitments totalled approximately S115 billion, or 15 percent of gross loans at all commercial banks.
Uploads
Papers by Hai Nguyen Hong