Zvi Wiener
Zvi Wiener

An Analytical Model for Loan Commitments Facing the Material Adverse Change

An Analytical Model for Loan Commitments Facing the Material Adverse Change

26/08/2025

Asset pricing;Quantitative finance;Corporate finance

14:00

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14:30

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.

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.

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