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Session 3.07: An Analytical Model for Loan Commitments Facing the Material Adverse Change
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| Presentations | ||
An Analytical Model for Loan Commitments Facing the Material Adverse Change 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. | ||