Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

How Valuable is Credit Card Lending?

Arkadev Chatterjea, Robert A Jarrow, Robert Neal and Yildiray Yildirim
The Journal of Derivatives Winter 2003, 11 (2) 39-52; DOI: https://doi.org/10.3905/jod.2003.319214
Arkadev Chatterjea
An associate professor of finance and control at the Indian Institute of Management Calcutta, India.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Robert A Jarrow
The Ronald and Susan Lynch professor of investment management at the Johnson Graduate School of Management, Cornell University, Ithaca, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Robert Neal
An associate professor of finance at the Kelley School of Business, Indiana University, Indianapolis, IN.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Yildiray Yildirim
An assistant professor at the Martin J. Whitman School of Management, Syracuse University, Syracuse, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Standard methodology for valuing interest-dependent assets is by now well established, with the Heath-Jarrow-Morton (HJM) model being one of the most widely-used approaches. However, despite representing a significant portion of many banks' portfolios, credit card loans as an asset class have not been brought into the standard valuation framework. Like a bond position, valuing a bank's credit card loan portfolio involves projecting the levels of future interest rates. But a portfolio of credit card loans also has several special features not shared by bonds. One is that the total loan face value shows long-run growth, but also short-term fluctuation, reflecting both seasonal effects and interest rate changes. A second is that the profitability, and hence the capitalized value, of the loan portfolio depends on the difference between the rate earned on the loans and the rate the bank must pay to fund those loans, so both rates need to be modeled. In this article, Chatterjea, Jarrow, Neal, and Yildirim offer a general modeling approach for valuing a bank's credit card loan portfolio within an extended HJM paradigm, and then illustrate how it works by fitting it to the credit card portfolios of five different banks.

  • © 2003 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives
Vol. 11, Issue 2
Winter 2003
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
How Valuable is Credit Card Lending?
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
How Valuable is Credit Card Lending?
Arkadev Chatterjea, Robert A Jarrow, Robert Neal, Yildiray Yildirim
The Journal of Derivatives Nov 2003, 11 (2) 39-52; DOI: 10.3905/jod.2003.319214

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
How Valuable is Credit Card Lending?
Arkadev Chatterjea, Robert A Jarrow, Robert Neal, Yildiray Yildirim
The Journal of Derivatives Nov 2003, 11 (2) 39-52; DOI: 10.3905/jod.2003.319214
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Price Hedging with Local and Aggregate Quantity Risk
  • Delivery Options and Treasury–Bond Futures Hedge Ratios
  • Stocks Paying Discrete Dividends
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies