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



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Autore: Loukoianova Elena Visualizza persona
Titolo: Pricing and Hedging of Contingent Credit Lines / / Elena Loukoianova, Salih Neftci, Sunil Sharma Visualizza cluster
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  Visualizza cluster
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
Opac: Controlla la disponibilità qui
Serie: IMF Working Papers; Working Paper ; ; No. 2006/013