Contingent Credit Lines Pricing and Replication Issues

Contingent Credit Lines (CCL) play an important role in the functioning of shortterm capital markets, yet their pricing and hedging have received little interest inthe theoretical ﬁnance literature. Risk management issues that arise in maintainingportfolios of CCL are almost completely ignored, although they seem to presentserious balance sheet problems to banks during market selloffs.<br

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Year of publication:	2003-06-01
Authors:	Neftci, Salih
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Kapitalmarkt \| Risikomanagement \| risk management

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Extent:	470016 bytes 34 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 113 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858550