Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments
用或有债权定价理论评估金融机构表外合同（如互换）的信用风险，并探讨银行监管机构如何据此确定资本要求，对金融风险管理和监管有参考价值。
The first part of this paper presents a general approach to valuing a financial institution's contracts when there is credit risk. The approach uses contingent claims pricing theory and is particularly appropriate for an off-balance sheet contract, such as a swap, that can have either a positive or a negative value to the counterparty. The second part of the paper extends the analysis by considering the problem, faced by bank supervisory authorities, of determining capital requirements for off-balance sheet contracts.