Pricing and hedging of contingent credit lines

被引：1

作者：

Loukoianova, Elena ^{[1
]}

Neftci, Salih ^{[2
,3
]}

Sharma, Sunil ^{[4
]}

机构：

[1] IMFs African Dept, Washington, DC USA

[2] New Sch, New York, NY USA

[3] ICMA Ctr, Reading, Berks, England

[4] IMF Singapore Reg Training Inst, Singapore, Singapore

来源：

JOURNAL OF DERIVATIVES | 2007年 / 14卷 / 03期

关键词：

D O I：

10.3905/jod.2007.681814

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 article analyzes the structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.

引用

页码：61 / 79

页数：19

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