Abstract

  
 

Citations



 


 



Pricing and Hedging of Contingent Credit Lines


Salih N. Neftci


CUNY Baruch College

Sunil Sharma


International Monetary Fund (IMF)

Elena Loukoianova


International Monetary Fund (IMF)


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.

working papers series


Date posted: June 15, 2005  

Suggested Citation

Neftci, Salih N., Sharma, Sunil and Loukoianova, Elena, Pricing and Hedging of Contingent Credit Lines. Available at SSRN: http://ssrn.com/abstract=742627

Contact Information

Salih N. Neftci
CUNY Baruch College ( email )
17 Lexington Avenue
New York, NY 10021
United States
(212) 817-8261 (Phone)
(212) 817-1514 (Fax)
Sunil Sharma (Contact Author)
International Monetary Fund (IMF) ( email )
IMF-Singapore Regional Training Institute
10 Shenton Way, #14-03
Singapore, 079117
Singapore
+65-62255311 (Phone)
+65-62256080 (Fax)
Elena Loukoianova
International Monetary Fund (IMF) ( email )
700 19th Street NW
Washington, DC 20431
United States
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 385

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo1 in 0.547 seconds