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Record Nr. |
UNINA9910788247103321 |
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Autore |
Lu Yinqiu |
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Titolo |
Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-9718-2 |
1-4527-9450-2 |
1-4518-6868-5 |
9786612840395 |
1-282-84039-8 |
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Descrizione fisica |
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1 online resource (22 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Prices - Developing countries |
Commercial products - Economic aspects - Developing countries |
Revenue - Developing countries |
Options (Finance) - Developing countries |
Banks and Banking |
Investments: Commodities |
Investments: Options |
Macroeconomics |
Money and Monetary Policy |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Commodity Markets |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
Goodwill |
Finance |
Monetary economics |
Investment & securities |
Financial services law & regulation |
Options |
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Commodity prices |
Credit default swap |
Commodities |
Hedging |
Derivative securities |
Prices |
Credit |
Commercial products |
Financial risk management |
Developing countries Economic policy |
Developing countries Economic conditions |
Chile |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references (p. 19-20). |
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Nota di contenuto |
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Contents; I. Introduction; II. Smooth fluctuations in Commodity Revenue Collections-Option Transactions; A. Plain Vanilla Options; Figures; 1. A Put Option Structure; B. Risk Reversals; Tables; 1. Prices of ATM Options; 2. Prices of 20 Percent OTM Options; 2. A Zero Premium Risk Reversal Structure; C. Barrier Option Structures; 3. Prices of the Up-and-Out Put Options: H=120; 3. A Knock-out Option; III. Smooth Borrowing Cost-A Structured Product; A. The Instrument; B. Intermediary; 4. The Structure of the New Instrument; C. Pricing; 5 The Involvement of Investment Bank as an Intermediary |
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Sommario/riassunto |
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Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of a new structured product-a sovereign Eurobond with an embedded option on a specific commodity price. By extracting commodity price risk out of the bond, such an instrument insulates the bond default risk from commodity price movements, allowing it to be marketed at a lower credit spread. The product is also designed to help developing countries establish a credit derivatives market, which would in turn enhance the marketability and liquidity of sovereign bonds. |
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