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, this paper examines the structure of CCLs, develops a method for their pricing, and discusses the problems faced in hedging CCL portfolios

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Year of publication:	[2005]
Authors:	Neftci, Salih N.
Other Persons:	Sharma, Sunil (contributor) ; Loukoianova, Elena (contributor)
Publisher:	[2005]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012784578