05842oam 22014054 450 991078833470332120230721045707.01-4623-2752-41-4527-1980-21-4518-7257-797866128432591-282-84325-7(CKB)3170000000055269(EBL)1608302(SSID)ssj0000940104(PQKBManifestationID)11592416(PQKBTitleCode)TC0000940104(PQKBWorkID)10938246(PQKB)10337771(OCoLC)645513273(MiAaPQ)EBC1608302(IMF)WPIEE2009110(EXLCZ)99317000000005526920020129d2009 uf 0engur|n|---|||||txtccrCredit Risk Spreads in Local and Foreign Currencies /Zvi Wiener, Dan GalaiWashington, D.C. :International Monetary Fund,2009.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.1-4519-1687-6 Includes bibliographical references.Contents; I. Introduction; II. The Model; III. Numerical Examples and Illustrations; Tables; 1. The Euro-Denominated Debt Spread, Face Value, PD, and the Cost of Credit Risk as a Function of Correlations; IV. Credit Spreads and Modigliani and Miller Propositions; Figures; 1. Spreads on Foreign-Currency Bonds and Correlations; 2. Betas of Stocks and Foreign Currency Bonds for Various Correlations; 2. The Expected Return on Stock (yS) as a Function of the B/S Ratio; V. Implications and Conclusions; 3. The Expected Return on Stock yS as a Function of the B/S Ratio and Correlation Coefficient ρ4. FE as a Function of FAppendixes; I. Determination of the Face Value of Debt in the Foreign Currency; 5. FE as a Function of F; II. Firm Value, Exchange Rates, and Inflation; ReferencesThe paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company's assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have "natural hedges" of their foreign currency exposures.IMF Working Papers; Working Paper ;No. 2009/110CreditMathematical modelsFinancial risk managementBanks and BankingimfForeign ExchangeimfInvestments: BondsimfMoney and Monetary PolicyimfContingent PricingimfFutures Pricingimfoption pricingimfInternational Financial MarketsimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfGeneral Financial Markets: General (includes Measurement and Data)imfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMonetary economicsimfCurrencyimfForeign exchangeimfFinancial services law & regulationimfInvestment & securitiesimfCurrenciesimfExchange ratesimfCredit riskimfBondsimfCreditimfMoneyimfFinancial regulation and supervisionimfFinancial institutionsimfFinancial risk managementimfUnited StatesimfCreditMathematical models.Financial risk management.Banks and BankingForeign ExchangeInvestments: BondsMoney and Monetary PolicyContingent PricingFutures Pricingoption pricingInternational Financial MarketsMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillGeneral Financial Markets: General (includes Measurement and Data)Monetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMonetary economicsCurrencyForeign exchangeFinancial services law & regulationInvestment & securitiesCurrenciesExchange ratesCredit riskBondsCreditMoneyFinancial regulation and supervisionFinancial institutionsFinancial risk managementWiener Zvi1472685Galai Dan147260DcWaIMFBOOK9910788334703321Credit Risk Spreads in Local and Foreign Currencies3685552UNINA