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dc.contributor.authorAboura, Sofiane
dc.contributor.authorLépinette, Emmanuel
dc.date.accessioned2019-02-18T09:47:52Z
dc.date.available2019-02-18T09:47:52Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18448
dc.language.isoenen
dc.subjectCorporate Loansen
dc.subjectCredit Risken
dc.subjectInvestment Decisionsen
dc.subjectPortfolio Choiceen
dc.subjectContingent Pricingen
dc.subject.ddc519en
dc.titleEvaluation of the Fair Credit Risk Premium in Commercial Lendingen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.identifier.citationpages20en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01863448en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-08
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-02-18T09:34:46Z
hal.person.labIds147976
hal.person.labIds60


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