The revolving credit line is the dominant form of commercial bank lending. We present an arbitrage-free valuation method incorporating a borrower's stochastic credit quality and drawdown behavior. Credit exposure is measured by the size of fixed balance loan of identical term having the same...

The revolving credit line is the dominant form of commercial bank lending. We present an arbitrage-free valuation method incorporating the borrower's stochastic credit quality process and drawdown behavior. Credit exposure is measured by the size of fixed balance loan of identical term having...

Despite syndicated loan accounts for more than 40% of bank commercial loans, little is known about how bank CEO compensation impacts bank syndicated loan contracting. We find that banks with more CEO inside debt have lower non-performance loans and lend to safer borrowers. Using a two-stage...

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. Yet, by the 3rd quarter of the 2010, there was on average no...

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. Yet, by the 3rd quarter of the 2010, there was on average no...