05459oam 22015254 450 991078841560332120230828232650.01-4623-2762-11-4527-0777-41-283-51191-697866138243631-4519-0809-1(CKB)3360000000443430(EBL)3014471(SSID)ssj0000943020(PQKBManifestationID)11503269(PQKBTitleCode)TC0000943020(PQKBWorkID)10974707(PQKB)11288206(OCoLC)694141143(MiAaPQ)EBC3014471(IMF)WPIEE2006013(EXLCZ)99336000000044343020020129d2006 uf 0engur|n|---|||||txtccrPricing and Hedging of Contingent Credit Lines /Elena Loukoianova, Salih Neftci, Sunil SharmaWashington, D.C. :International Monetary Fund,2006.1 online resource (26 p.)IMF Working Papers"January 2006."1-4518-6273-3 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/013Contingencies in financeHedging (Finance)Lines of creditPricesBanks and BankingimfInvestments: OptionsimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfContingent PricingimfFutures Pricingimfoption pricingimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfSimulation MethodsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfFinanceimfMonetary economicsimfBankingimfFinancial services law & regulationimfLines of creditimfLoansimfOptionsimfCreditimfFinancial institutionsimfMoneyimfCredit riskimfFinancial regulation and supervisionimfDerivative securitiesimfBanks and bankingimfFinancial risk managementimfUnited StatesimfContingencies in finance.Hedging (Finance)Lines of creditPrices.Banks and BankingInvestments: OptionsMoney and Monetary PolicyIndustries: Financial ServicesContingent PricingFutures Pricingoption pricingBanksDepository InstitutionsMicro Finance InstitutionsMortgagesSimulation MethodsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillFinanceMonetary economicsBankingFinancial services law & regulationLines of creditLoansOptionsCreditFinancial institutionsMoneyCredit riskFinancial regulation and supervisionDerivative securitiesBanks and bankingFinancial risk managementLoukoianova Elena1472666Neftci Salih1464028Sharma Sunil125664IMF Institute.International Monetary Fund.DcWaIMFBOOK9910788415603321Pricing and Hedging of Contingent Credit Lines3802292UNINA