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| Pricing and Hedging of Contingent Credit Lines by Elena Loukoianova of the International Monetary Fund, January 2006 Abstract: 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. JEL Classification: G13, G21, C15. Keywords: Contingent credit line (CCL), pricing, hedging. Published in: Journal of Derivatives, Vol. 14, No. 3, (Spring 2007), pp. 61-79. Books Referenced in this Paper: (what is this?)
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