Loan valuation, a modern finance perspective
Author: Dermine, Jean INSEAD Area: Finance Series: Working Paper ; 96/60/FIN Publisher: Fontainebleau : INSEAD, 1996.Language: EnglishDescription: 13 p.Type of document: INSEAD Working Paper Online Access: Click here Abstract: The valuation of bank loans has attracted a lot of attention recently, and the case for marketing-to-market loan potfolios has been made. In this note, five different valuation methods are evaluated vis-à-vis a benchmark, the loan arbitrage-free valuation. This model takes into account five variables that should be reflected in the economic value of a loan transaction, namely the probability of failure, the recovery rate, the tax implications, the level of debt and equity funding, and the risk premium demanded by the market| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Digital Library | Available | BC001180 |
The valuation of bank loans has attracted a lot of attention recently, and the case for marketing-to-market loan potfolios has been made. In this note, five different valuation methods are evaluated vis-à-vis a benchmark, the loan arbitrage-free valuation. This model takes into account five variables that should be reflected in the economic value of a loan transaction, namely the probability of failure, the recovery rate, the tax implications, the level of debt and equity funding, and the risk premium demanded by the market
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