DefaultRisk.com the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search
pa_other_15


Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- HTML
- Text (plain)
- BibTeX
- RIS
- ReDIF

Hull, John, "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments", Journal of Financial and Quantitative Analysis, Vol. 24, No. 4, (December 1989), pp. 489-501.

Abstract: The first part of this paper presents a general approach to valuing a financial institution's contracts hen there is credit risk. The approach uses contingent claims pricing theory and is particularly appropriate for an off-balance sheet contract, such as a swap, that can have either a positive or a negative value to the counterparty. The second part of the paper extends the analysis by considering the problem, faced by bank supervisory authorities, of determining capital requirements for off-balance sheet contracts.

Books Referenced in this paper:  (what is this?)

Download paper (341K PDF) 14 pages