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| Author: | Hull, J. |
| Title: | Assessing credit risk in a financial institution's off-balance sheet commitments |
| Journal: | Journal of Financial and Quantitative Analysis
1989 : DEC, VOL. 24:4, p. 489-501 |
| Index terms: | CREDIT CONTROL BALANCE SHEETS FINANCIAL INSTITUTIONS |
| Language: | eng |
| Abstract: | The valuation of a financial institution's contracts when there is a credit risk, using contingent claims pricing theory for an off-balance sheet contract, i.e. a swap, and an analysis of problem faced by bank supervisory authorities. Valuation of contracts when there is a credit risk. Application to currency swaps. Assumptions to justify credit risk weighing. Limitations. Two Tables illustrate the study. |
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