Pricing and Hedging of Contingent Credit Lines |
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| Author:
| Loukoianova, Elena
Neftci, Salih N.
Sharma, Sunil |
| Series title: | IMF Working Papers |
| ISBN: | 978-1-4518-6273-7 |
| Publication Date: | Jan 2006 |
| Publisher: | International Monetary Fund
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| Book Format: | Paperback |
| List Price: | USD $20.00 |
Book Description:
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Contingent credit lines (CCLs) are widely used in bank lending and also play an important role in the functioning of short-term capital markets. Yet, their pricing and hedging has not received much attention in the finance literature. Using a financial engineering approach, the paper analyzes the structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.
Contingent credit lines (CCLs) are widely used in bank lending and also play an important role in the functioning of short-term capital markets. Yet, their pricing and hedging has not received much attention in the finance literature. Using a financial engineering approach, the paper analyzes the structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.