... Ab, T is the time to repricing, and Rfk is the value of the default risk-free rate for repricing frequency k. Since the 8 See Black and Cox (1976); Merton (1974); and Cox and Rubenstein ... legislative, regulatory, and economic environments and find that most banks continue to be sensitive to credit, interest-rate, and term-structure shocks. However, the sensitivity to term-structure ... term structure. To complete the model for estimation, changes in interest rates are assumed to be outside the control of management and each is subject to a continuous time, stochastic diffusion...