Basel-2 capital adequacy: Computing the ‘fair’ capital charge for loan commitment ‘true’ credit risk

Anathanarayanan, 1980, Retractable and extendible bonds: The Canadian experience, Journal of Finance, 35, 31, 10.2307/2327179 André, 2001, A note on: Capital adequacy and the informational content of term loans and lines of credit, Journal of Banking and Finance, 25, 431, 10.1016/S0378-4266(99)00130-2 Angbazo, 1998, Credit spread in the market for highly leveraged transaction loan, Journal of Banking and Finance, 22, 1249, 10.1016/S0378-4266(98)00065-X Athanassakos, 1997, Negative option values in extendible Canadian treasury bonds, Advances in Futures and Options Research, 9, 83 Athavale, 2004, The pricing of sequential bank loans, Financial Review, 39, 231, 10.1111/j.0732-8516.2004.00074.x Bank for International Settlements, 1988 Bank for International Settlements, 2000 Bank for International Settlements, 2004 Barrios, 2003, The effectiveness of bank capital adequacy regulation: A theoretical and empirical approach, Journal of Banking and Finance, 27, 1935, 10.1016/S0378-4266(02)00311-4 Berger, 1995, Relationship lending and lines of credit in small firm finance, Journal of Business, 68, 351, 10.1086/296668 Black, 1976, The pricing of commodity contracts, Journal of Financial Economics, 3, 169, 10.1016/0304-405X(76)90024-6 Black, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637, 10.1086/260062 Board of Governors of the Federal Reserve System, 2000, Survey of terms of business lending Chateau, 1990, Valuation of “capped” variable rate loan commitments, Journal of Banking and Finance, 14, 717, 10.1016/0378-4266(90)90072-A Chateau, 1998 Chateau, 2002, The stochastic-volatility American put option of banks' credit line commitments: Valuation and policy implications, International Review of Financial Analysis, 11, 159, 10.1016/S1057-5219(02)00073-X Decamps, 2004, The three pillars of Basel II: Optimizing the mix, Journal of Financial Intermediation, 13, 132, 10.1016/j.jfi.2003.06.003 Ergungor, 2001, Theories of bank loan commitments, Federal Reserve Bank of Cleveland Economic Review, 37, 2 Ferguson, 2003, Capital standards for banks: The evolving Basel accord, Federal Reserve Bulletin, 89, 395 Fery, 2003, Market reaction to published and non-published corporate loan announcements, Quarterly Review of Economics and Finance, 43, 1, 10.1016/S1062-9769(02)00118-7 Fisher, 2001, On the new capital adequacy framework based on the second consultative document of the Basel Committee on Banking Supervision, Economic and Financial Review, 8, 181 Garman, 1983, Foreign currency option values, Journal of International Money and Finance, 2, 231, 10.1016/S0261-5606(83)80001-1 Gottesman, 2004, Maturity and corporate loan pricing, Financial Review, 39, 55, 10.1111/j.0732-8516.2004.00067.x Hammes, 2001, The implications of the new capital adequacy rules for portfolio management of credit assets, Journal of Banking and Finance, 25, 97, 10.1016/S0378-4266(00)00118-7 Hauser, 1996, Empirical tests of the Longstaff extendible warrant model, Empirical Finance, 3, 1, 10.1016/0927-5398(95)00019-4 Hawkins, 1982, An analysis of revolving credit agreements, Journal of Financial Economics, 10, 59, 10.1016/0304-405X(82)90030-7 Ho, 1983, Fixed rate loan commitments, takedown risk and the dynamics of hedging with futures, Journal of Financial and Quantitative Analysis, 18, 499, 10.2307/2330944 Kashyap, 2002, Banks as liquidity providers: An explanation for the coexistence of lending and deposit-taking, Journal of Finance, 57, 33, 10.1111/1540-6261.00415 Krahnen, 2001, Generally accepted rating principles: A primer, Journal of Banking and Finance, 25, 3, 10.1016/S0378-4266(00)00115-1 Longstaff, 1990, Pricing options with extendible maturities: Analysis and applications, Journal of Finance, 45, 935, 10.2307/2328800 Lu, H., 2004. Market value of loan commitments with material adverse change (MAC) covenant. Unpublished research paper, HEC Lausanne. Merton, 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science, 4, 141, 10.2307/3003143 Merton, 1977, An analytic derivation of the cost of the deposit insurance and loan guarantees, Journal of Banking and Finance, 1, 3, 10.1016/0378-4266(77)90015-2 Morgan, 1993, Financial contracts when costs and returns are private, Journal of Monetary Economics, 31, 129, 10.1016/0304-3932(93)90020-G Petersen, 1994, The benefits of firm–creditor relationships: Evidence from small business data, Journal of Finance, 49, 3, 10.2307/2329133 Rose, 2003 Royal Bank of Canada, 2003 Santos, 2001, Bank capital regulation in contemporary banking theory: A review of literature, Financial Markets, Institutions and Instruments, 10, 41, 10.1111/1468-0416.00042 Shockley, 1997, Bank loan commitment contracts: Data, theory, and tests, Journal of Money, Credit and Banking, 29, 517, 10.2307/2953711 Thakor, 1982, Toward a theory of bank loan commitments, Journal of Banking and Finance, 6, 55, 10.1016/0378-4266(82)90022-X Thakor, 1989, Competitive equilibrium with type convergence in an asymmetrically informed market, Review of Financial Studies, 2, 49, 10.1093/rfs/2.1.49 Thakor, 1981, Bank loan commitments and interest rate volatility, Journal of Banking and Finance, 5, 497, 10.1016/S0378-4266(81)80004-0 Thakor, 1987, An economic rationale for the pricing structure of bank loan commitments, Journal of Banking and Finance, 11, 271, 10.1016/0378-4266(87)90053-7 Windcliff, 2003, An object-oriented framework for valuing shout options on high-performance computer architectures, Journal of Economic Dynamics and Control, 27, 1133, 10.1016/S0165-1889(02)00058-1 Wu, J., 1997. Exotic options and their applications in corporate finance. Unpublished Ph. D. Thesis, Paris.