BOOKS - Pricing and Hedging of Contingent Credit Lines
US $5.62
211282
211282
Pricing and Hedging of Contingent Credit Lines
Author: Salih N. Neftci
Year: January 1, 2006
Format: PDF
File size: PDF 1.2 MB
Language: English
Year: January 1, 2006
Format: PDF
File size: PDF 1.2 MB
Language: English
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.