Pricing and Hedging of Contingent Credit Lines / / Elena Loukoianova, Salih Neftci, Sunil Sharma

• Autore: Loukoianova Elena
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Descrizione fisica: 1 online resource (26 p.)
• Soggetto topico: 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; 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
• Soggetto geografico: United States
• Altri autori: NeftciSalih SharmaSunil
• Note generali: "January 2006."
• 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.
• Titolo autorizzato: Pricing and Hedging of Contingent Credit Lines
• ISBN: 1-4623-2762-1; 1-4527-0777-4; 1-283-51191-6; 9786613824363; 1-4519-0809-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788415603321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/013