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Session 3.07: An Analytical Model for Loan Commitments Facing the Material Adverse Change
Time:
Tuesday, 26/Aug/2025:
2:00pm - 2:30pm
Location:Mikado Conference hall
Meeting hall “Mikado”, which can accommodate up to 50 people
Presentations
An Analytical Model for Loan Commitments Facing the Material Adverse Change
Prof. Dan Galai, Prof. Zvi Wiener
The Hebrew University of Jerusalem, Israel
We propose a new analytical model for the valuation of loan commitments and some of their main features including the MAC (Material Adverse Change) clause. A two-period contingent claims approach in continuous time is developed. The advantage of this approach is that it is based on rational economic considerations that are not based on utility functions.
