Pricing and Hedging of Contingent Credit Lines

Elena Loukoianova (), Salih Neftci and Sunil Sharma ()

No 2006/013, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; credit risk; forward rate; Contingent credit line (CCL); pricing; hedging; CCL price; CCL contract; CCL structure; CCL facility; financial condition; CP market; companies credit-worthiness; CCL characteristic; Lines of credit; Loans; Options; Credit (search for similar items in EconPapers)
Pages: 26
Date: 2006-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=18727 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2006/013

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().