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- W2956071918 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." @default.
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- W2956071918 date "2006-01-01" @default.
- W2956071918 modified "2023-09-30" @default.
- W2956071918 title "Pricing and Hedging of Contingent Credit Lines" @default.
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- W2956071918 doi "https://doi.org/10.5089/9781451862737.001" @default.
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