Pricing and Hedging of Contingent Credit Lines
Elena Loukoianova (),
Salih Neftci and
Sunil Sharma ()
No 06/13, IMF Working Papers from International Monetary Fund
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: Economic models; Banking; Capital markets; Hedging; Contingent credit line (CCL), pricing, credit line, credit lines, bond, hedge, Simulation Methods, (search for similar items in EconPapers)
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