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Record Nr. |
UNINA9910788415603321 |
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Autore |
Loukoianova Elena |
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Titolo |
Pricing and Hedging of Contingent Credit Lines / / Elena Loukoianova, Salih Neftci, Sunil Sharma |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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1-4623-2762-1 |
1-4527-0777-4 |
1-283-51191-6 |
9786613824363 |
1-4519-0809-1 |
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Descrizione fisica |
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1 online resource (26 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Contingencies in finance |
Hedging (Finance) |
Lines of credit - Prices |
Banks and Banking |
Investments: Options |
Money and Monetary Policy |
Industries: Financial Services |
Contingent Pricing |
Futures Pricing |
option pricing |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Simulation Methods |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
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Goodwill |
Finance |
Monetary economics |
Banking |
Financial services law & regulation |
Lines of credit |
Loans |
Options |
Credit |
Financial institutions |
Money |
Credit risk |
Financial regulation and supervision |
Derivative securities |
Banks and banking |
Financial risk management |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""Contents""; ""I. Introduction""; ""II. Market Practice""; ""III. Modeling a CCL""; ""IV. Replicating Portfolio""; ""V. Pricing""; ""A. Method 1""; ""B. Method 2""; ""VI. Hedging Issues""; ""VII. Concluding Remarks""; ""References"" |
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Sommario/riassunto |
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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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