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Pricing and Hedging of Contingent Credit Lines [electronic resource] Loukoianova, Elena.

Author/Creator:
Loukoianova, Elena.
Publication:
Washington, D.C. : International Monetary Fund, 2006.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 06/13.
IMF Working Papers; Working Paper No. 06/13
Format/Description:
Government document
Book
1 online resource (26 p.)
Local subjects:
Banking. (search)
Banks. (search)
Bond. (search)
Bond price. (search)
Bond prices. (search)
Bonds. (search)
Capital markets. (search)
Contingent Pricing. (search)
Corporate information. (search)
Coupon bonds. (search)
Credit line. (search)
Credit lines. (search)
Default-free bond. (search)
Deposit insurance. (search)
Discount bond. (search)
Discount bonds. (search)
Economic models. (search)
Finance institutions. (search)
Financial economics. (search)
Financial institution. (search)
Financial market. (search)
Futures Pricing. (search)
Hedge. (search)
Hedges. (search)
Hedging. (search)
Interest rate derivatives. (search)
Micro finance institutions. (search)
Money market. (search)
Money markets. (search)
Monte Carlo Methods. (search)
Mortgages. (search)
Other Depository Institutions. (search)
Statistical Simulation Methods. (search)
Zero-coupon bonds. (search)
Singapore. (search)
United States. (search)
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Loukoianova, Elena.
Neftci, Salih N.
Sharma, Sunil.
Other format:
Print Version:
ISBN:
1451862733:
9781451862737
ISSN:
1018-5941
Publisher Number:
10.5089/9781451862737.001
Access Restriction:
Restricted for use by site license.
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