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In Rememberance: World Trade Center (WTC)

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Loan Equivalents for Revolving Credits and Advised Lines

by Michel Araten of JPMorgan Chase & Co., and
Michael Jacobs Jr. of JPMorgan Chase & Co.

May 2001

Abstract: This article draws on almost six years of data ending December 2000 involving 1,021 observations of 408 facilities for 399 defaulted borrowers at Chase. The study and resulting article evaluates the bank's exposure at default, regardless of the borrower's motivation for draw-downs. Bankers can benefit from this analysis of risk associated with unused commitments, incorporating the results of this study into their pricing decisions and capital allocations.

Published in: The RMA Journal, Vol. 83, No. 8, (May 2001), pp. 34-39.

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