Pricing and Hedging of Contingent Credit Lines
| Author/creator | Loukoianova, Elena Author |
| Other author | Neftci, Salih N. Author |
| Other author | Sharma, Sunil Author |
| Format | Electronic |
| Publication Info | Washington : International Monetary Fund |
| Description | 21 p. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Summary | Annotation 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. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| ISBN | 9781451908091 |
| ISBN | 1451908091 (E-Book) Active Record |
| Stock number | 00013468 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |