05678oam 22016214 450 991095612010332120250426110454.0978661382436397814623276211462327621978145270777814527077749781283511919128351191697814519080911451908091(CKB)3360000000443430(EBL)3014471(SSID)ssj0000943020(PQKBManifestationID)11503269(PQKBTitleCode)TC0000943020(PQKBWorkID)10974707(PQKB)11288206(OCoLC)694141143(IMF)WPIEE2006013(MiAaPQ)EBC3014471(IMF)WPIEA2006013WPIEA2006013(EXLCZ)99336000000044343020020129d2006 uf 0engur|n|---|||||txtccrPricing and Hedging of Contingent Credit Lines /Elena Loukoianova, Salih Neftci, Sunil Sharma1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (26 p.)IMF Working Papers"January 2006."9781451862737 1451862733 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 creditPricesBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital and Ownership StructureimfContingent PricingimfCredit riskimfCreditimfDepository InstitutionsimfDerivative securitiesimfFinanceimfFinancial institutionsimfFinancial InstrumentsimfFinancial regulation and supervisionimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfFutures PricingimfGoodwillimfIndustries: Financial ServicesimfInstitutional InvestorsimfInvestments: OptionsimfLines of creditimfLoansimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfNon-bank Financial InstitutionsimfOption pricingimfOptionsimfPension FundsimfSimulation MethodsimfValue of FirmsimfUnited StatesimfContingencies in finance.Hedging (Finance)Lines of creditPrices.BankingBanks and BankingBanks and bankingBanksCapital and Ownership StructureContingent PricingCredit riskCreditDepository InstitutionsDerivative securitiesFinanceFinancial institutionsFinancial InstrumentsFinancial regulation and supervisionFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyFutures PricingGoodwillIndustries: Financial ServicesInstitutional InvestorsInvestments: OptionsLines of creditLoansMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesNon-bank Financial InstitutionsOption pricingOptionsPension FundsSimulation MethodsValue of FirmsLoukoianova Elena1816361Neftci Salih1816214Sharma Sunil125664IMF Institute.International Monetary Fund.DcWaIMFBOOK9910956120103321Pricing and Hedging of Contingent Credit Lines4372598UNINA