Cargando…
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 |
Tabla de Contenidos:
- 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