|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910808811403321 |
|
|
Autore |
Loukoianova Elena |
|
|
Titolo |
Pricing and hedging of contingent credit lines / / prepared by Elena Loukoianova, Salih N. Neftci, and Sunil Sharma |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
[Washington, DC], : International Monetary Fund, IMF Institute, 2006 |
|
|
|
|
|
|
|
ISBN |
|
1-4623-2762-1 |
1-4527-0777-4 |
1-283-51191-6 |
9786613824363 |
1-4519-0809-1 |
|
|
|
|
|
|
|
|
Edizione |
[1st ed.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (26 p.) |
|
|
|
|
|
|
Collana |
|
IMF working paper ; ; WP/06/13 |
|
|
|
|
|
|
Altri autori (Persone) |
|
NeftciSalih N |
SharmaSunil <1958-> |
|
|
|
|
|
|
|
|
Soggetti |
|
Contingencies in finance |
Hedging (Finance) |
Lines of credit - Prices |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references. |
|
|
|
|
|
|
Nota di contenuto |
|
""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"" |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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. |
|
|
|
|
|
|
|