Evaluation of the Fair Credit Risk Premium in Commercial Lending - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

Evaluation of the Fair Credit Risk Premium in Commercial Lending

Résumé

We consider the problem of characterizing and computing the fair credit risk premium that a firm should pay when borrowing money from a bank. Using a risk-neutral approach, we show that there is a unique credit risk premium for a commercial loan depending on the firm's strategy such that the expected discounted value of the bank's payoff coincides with the loan's par value. We then propose a numerical procedure to estimate the premium.
Fichier principal
Vignette du fichier
AL20-08-18-CM.pdf (300.98 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01863448 , version 1 (28-08-2018)

Identifiants

  • HAL Id : hal-01863448 , version 1

Citer

Sofiane Aboura, Emmanuel Lépinette. Evaluation of the Fair Credit Risk Premium in Commercial Lending. 2018. ⟨hal-01863448⟩
107 Consultations
539 Téléchargements

Partager

Gmail Facebook X LinkedIn More