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Pricing and Hedging of Contingent Credit Lines

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 st...

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Bibliographic Details
Main Author: Loukoianova, Elena
Other Authors: Neftci, Salih, Sharma, Sunil
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2006
Series:IMF Working Papers
Subjects:
Credit
Banks
Finance
Banks And Banking
Industries: Financial Services
Mortgages
Option Pricing
Money
Simulation Methods
Futures Pricing
Financial Risk Management
Credit Risk
Capital And Ownership Structure
Goodwill
Banking
Financial Risk And Risk Management
Financing Policy
Lines Of Credit
Depository Institutions
Institutional Investors
Pension Funds
Monetary Economics
Financial Institutions
Contingent Pricing
Financial Instruments
Value Of Firms
Micro Finance Institutions
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
Options
Investments: Options
Derivative Securities
Non-bank Financial Institutions
Loans
Financial Regulation And Supervision
Money And Monetary Policy
Financial Services Law & Regulation
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:26 pages
ISBN:9781451862737

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