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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 |
|---|---|
| Autores principales: | , , |
| Autores Corporativos: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, DC] :
International Monetary Fund, IMF Institute,
2006.
|
| Colección: | IMF working paper ;
WP/06/13. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Loukoianova, Elena, |e author. | |
| 245 | 1 | 0 | |a Pricing and hedging of contingent credit lines / |c prepared by Elena Loukoianova, Salih N. Neftci, and Sunil Sharma. |
| 260 | |a [Washington, DC] : |b International Monetary Fund, IMF Institute, |c 2006. | ||
| 300 | |a 1 online resource (24 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 490 | 1 | |a IMF working paper ; |v WP/06/13 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 505 | 0 | |a 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 | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Contingencies in finance. | |
| 650 | 0 | |a Hedging (Finance) | |
| 650 | 0 | |a Lines of credit |x Prices. | |
| 650 | 6 | |a Éventualités (Finances) | |
| 650 | 6 | |a Couverture (Finances) | |
| 650 | 6 | |a Ligne de crédit |x Prix. | |
| 650 | 7 | |a Contingencies in finance |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 700 | 1 | |a Neftci, Salih N., |e author. | |
| 700 | 1 | |a Sharma, Sunil, |d 1958- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjJKGcJRCTbdGJrVgk78RX | |
| 710 | 2 | |a IMF Institute. | |
| 710 | 2 | |a International Monetary Fund. | |
| 758 | |i has work: |a Pricing and hedging of contingent credit lines (Text) |1 https://id.oclc.org/worldcat/entity/E39PCG6jcYpkDJVVGrhKdQfF83 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 830 | 0 | |a IMF working paper ; |v WP/06/13. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014471 |z Texto completo |
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