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
收藏
页码：61 / 79
页数：19
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