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 structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.
Publication date: January 2006
ISBN: 9781451862737
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Finance , Contingent credit line (CCL) , pricing , credit line , credit lines , bond , hedge , Simulation Methods

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