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 structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.

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Year of publication:	2006-01-01
Authors:	Loukoianova, Elena ; Neftci, Salih N. ; Sharma, Sunil
Institutions:	International Monetary Fund (IMF)
Subject:	Banking \| Economic models \| credit line \| credit lines \| hedging \| bond \| hedge \| capital markets \| financial institution \| deposit insurance \| bonds \| discount bond \| money markets \| micro finance institutions \| financial economics \| corporate information \| hedges \| financial market \| zero-coupon bonds \| discount bonds \| coupon bonds \| money market \| bond price \| default-free bond \| interest rate derivatives \| bond prices \| finance institutions

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 06/13 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005263798