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Loan arbitrage-free pricing (LAFP)

Author: Dermine, Jean INSEAD Area: FinanceIn: The Financier: ACMT, vol. 2, no. 2, May 1995 Language: EnglishDescription: p. 64-67.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: The purpose of the paper is to present a loan pricing methodology fully consistent with modern finance theory. Moreover, this methodology can be used to guide the allocation of loan loss provisions and revenues to profit centers. The loan arbitrage-free pricing (LAFP) model invites bankers to move their attention away from interest margins, and to focus on value creation for shareholders
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The purpose of the paper is to present a loan pricing methodology fully consistent with modern finance theory. Moreover, this methodology can be used to guide the allocation of loan loss provisions and revenues to profit centers. The loan arbitrage-free pricing (LAFP) model invites bankers to move their attention away from interest margins, and to focus on value creation for shareholders

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