Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Pricing and Hedging of Contingent Credit Lines

Elena Loukoianova, Salih N Neftci and Sunil Sharma
The Journal of Derivatives Spring 2007, 14 (3) 61-80; DOI: https://doi.org/10.3905/jod.2007.681814
Elena Loukoianova
An economist in the IMF's African Department in Washington, DC.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: eloukoianova@imf.org
Salih N Neftci
A professor of finance at New School in New York, NY and ICMA Centre in Reading, U.K.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: sneftci@gc.cuny.edu
Sunil Sharma
The director of the IMF-Singapore Regional Training Institute in Singapore.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ssharma@imf.org
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Contingent claims theory has given us the technology for pricing and hedging a broad array of derivatives securities. But it also provides the means to evaluate options that are embedded in non-derivative instruments like callable bonds and mortgages, as well as options that are not connected to traded securities at all, such as „real options.” A bank line of credit, or „contingent credit line”(CCL) gives a borrower the option to take down a loan on demand, at a precommitted interest rate, or rate spread relative to a base rate. However, the borrower's option is limited by the bank's option to refuse the loan if the borrower's credit quality has fallen below a specified level. The contingent payoff to the CCL resembles that of an interest rate cap that is knocked out if it gets too far in the money. In this article, the authors model the various contingencies to develop a pricing and hedging methodology and analyze the sensitivities of a CCL to the model parameters.

  • © 2007 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives
Vol. 14, Issue 3
Spring 2007
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Pricing and Hedging of Contingent Credit Lines
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Pricing and Hedging of Contingent Credit Lines
Elena Loukoianova, Salih N Neftci, Sunil Sharma
The Journal of Derivatives Feb 2007, 14 (3) 61-80; DOI: 10.3905/jod.2007.681814

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Pricing and Hedging of Contingent Credit Lines
Elena Loukoianova, Salih N Neftci, Sunil Sharma
The Journal of Derivatives Feb 2007, 14 (3) 61-80; DOI: 10.3905/jod.2007.681814
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Valuing Multiple Employee Stock Options Issued by the Same Company
  • Pricing American Interest Rate Options under the Jump-Extended Vasicek Model
  • The Subprime Credit Crisis of 2007
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies