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| Pricing and Hedging of Contingent Credit Lines by Elena Loukoianova of the International Monetary Fund, February 24, 2004 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, this paper examines the structure of CCLs, develops a method for their pricing, and discusses the problems faced in hedging CCL portfolios. Books Referenced in this Paper: (what is this?) |
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