-
Loan Commitment Analytics
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Loans, Fixed-income securities, Contingent valuation
- Item Type:
- Report
- Tag(s):
- load commitment, credit risk, value at risk
- Permanent URL:
- https://doi.org/10.17613/a0f7-ep73
- Abstract:
- The model calculates numbers that characterize the effect of adding an extra instrument to a portfolio of loan commitments. To be useful, these numbers should be additive with respect to the facilities making up the portfolio, so that their total would have the same meaning for the portfolio as each individual number has for the respective instrument. Moreover, some of these number have to be positive to make business sense.
- Notes:
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4493258
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- Attribution
loancreditvar.pdf