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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)
January 2006

IMF Working Paper No. 06/13

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.

Number of Pages in PDF File: 26

Keywords: Contingent credit line (CCL), pricing, hedging

JEL Classification: G13, G21, C15

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Date posted: March 3, 2006  

Suggested Citation

Neftci, Salih N., Sharma, Sunil and Loukoianova, Elena, Pricing and Hedging of Contingent Credit Lines (January 2006). IMF Working Paper, Vol. , pp. 1-26, 2006. Available at SSRN: http://ssrn.com/abstract=888158

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
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 (Contact Author)
International Monetary Fund (IMF) ( email )
700 19th Street NW
Washington, DC 20431
United States
Feedback to SSRN (Beta)


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