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Bank commercial loan fair value practices. (2007). Yang, Emily ; Moise, Michael ; Tschirhart, John ; O'Brien, James .
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2007-29.

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  1. Government Guarantees and the Valuation of American Banks. (2018). Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; D'Avernas, Adrien ; Atkeson, Andrew.
    In: Staff Report.
    RePEc:fip:fedmsr:567.

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References

References cited by this document

  1. Acharya, V., Bharath, S., and A. Srinivasan (2005), Does Industry-wide Distress Affect Defaulted Firms - Evidence from Creditors Recoveries, working paper, October, forthcoming Journal of Financial Economics.

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  4. Carey, M., and M. Gordy (2007), The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt, Federal Reserve Board working paper, March.

  5. Crosbie, P. and J. Bohn (2003), Modeling Default Risk, Moodys KMV, December.
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  8. Eom, Y, Helwege, J., and J. Huang (2004), Structural Models of Corporate Bond Pricing: An Empirical Analysis, The Review of Financial Studies, Vol. 17, No. 2: 499-544.

  9. Frye, J. (2000), Depressing Recoveries, Risk, November: 108-111.

  10. GAO (2005), Loan Commitments: Issues Related to Pricing, Trading, and Accounting, GAO05 -13 1, February.
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  11. Gupton, G., and R. Stein (2005), LossCalc V2: Dynamic Prediction of LGD, Moodys KMV, January.
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  12. Hull, J. (2003), Options, Futures, and Other Derivatives, Upper Saddle River NJ: Prentice Hall, 5th edition.
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  13. Jimenez, G, Lopez, J., and J. Saurina (2007), Empirical Analysis of Corporate Lines of Credit, Bank of Spain and Federal Reserve Bank of San Francisco working paper, March.

  14. Lando, D. (2004), Credit Risk Modeling: Theory and Applications, Princeton NJ: Princeton University Press.
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  15. McAndrew, A (2004), Introduction to CreditMark, Moodys KMV, February.
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  16. Merton, R. (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, The Journal of Finance, 29, May: 449-470.

  17. Schonbucher, P. (2003), Credit Derivatives Pricing Models, West Sussex England: John Wiley & Sons Ltd.
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  18. Standard and Poors (2006), A Guide to the Loan Market, September.
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  19. Sufi, A. (2007a), Bank Lines of Credit in Corporate Finance: An Empirical Analysis, January, forthcoming The Review of Financial Studies.

  20. Sufi, A. (2007b), Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans, The Journal of Finance, vol. LXII, April: 629-667.

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