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Pricing and hedging of contingent credit lines /
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 st...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , , |
| Autores Corporativos: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, DC] :
International Monetary Fund, IMF Institute,
2006.
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| Colección: | IMF working paper ;
WP/06/13. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (24 pages) : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1283511916 9781283511919 9781451908091 1451908091 |