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Record W3121765062 · doi:10.3905/jod.2015.22.4.037

Credit Exposure and Valuation of Revolving Credit Lines

2015· article· en· W3121765062 on OpenAlex
Yan Wendy Wu

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueThe Journal of Derivatives · 2015
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicBanking stability, regulation, efficiency
Canadian institutionsWilfrid Laurier UniversitySimon Fraser University
Fundersnot available
KeywordsInterest rateLoanEconomicsEquity (law)Valuation (finance)Fixed interest rate loanNet interest marginMonetary economicsBusinessActuarial scienceFinanceMicroeconomicsIncentive

Abstract

fetched live from OpenAlex

A revolving credit line is one of the most common forms of commercial bank loan. Fixing the interest rate and the maximum loan amount but not the utilization pattern introduces several types of uncertainty into the contract. In practice, in addition to the interest on the drawn amount, a variety of different fees and charges may be imposed, although generally not all at once. This leads to interesting optimal behavior for the borrower in the face of stochastic fluctuation in market interest rates and borrower credit quality. For example, the borrower can raise funds in the open market if the interest rate is lower there but has the option to draw against the line at the original rate if its creditworthiness weakens. Jones and Wu present a model incorporating these special features and explore how they affect optimal loan terms and borrower behavior. Interesting results include the fact that because of the borrower’s option to draw on the credit line when its creditworthiness weakens, the lender cannot make money on the deal without incorporating extra fees on top of the interest on the borrowed principal. <bold>TOPICS:</bold> <ext-link>Real assets/alternative investments/private equity</ext-link>, <ext-link>quantitative methods</ext-link>

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.002
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Observational · Consensus signal: Observational
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.101
Threshold uncertainty score0.257

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0030.002
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.070
GPT teacher head0.265
Teacher spread0.195 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it