, The markets liquidity has a direct impact on the funding cost risk of the bank but also on the obligors' behaviour. 3. By cash-ow behaviour we mean drawdowns and prepayments. 4. The terms loans and credit lines are used interchangeably
, The home equity lines are typical credit lines that are open for the rst 5 years, during which time the borrower is only required to make interest payments on the utilized line balance
, , 2012.
, We adopt the following notation, P (w; introduced above, P (w; ?) is solution of the following equation : V (w; {p 1 , p 2 }; {0, 0}) = V (w ? P (w; ?)
P (w; ?), that writes as P (w; 1) is equal to zero, the WTP ,
, for i = 1, 2, the following inequalities hold 10 ?w, intéressante serait d'étendre la dénition de la neutralité à l'ambiguïté au cadre multidimensionnel an d'avoir des résultats en accord avec l'intuition
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1 Portfolio cohorts by years and ratings ,