06143oam 22014894 450 991095615430332120251116163335.0978661284039597814623971811462397182978145279450114527945029781451868685145186868597812828403931282840398(CKB)3170000000054987(EBL)1607696(SSID)ssj0000940806(PQKBManifestationID)11499077(PQKBTitleCode)TC0000940806(PQKBWorkID)10955753(PQKB)11011623(OCoLC)535146970(IMF)WPIEE2008006(MiAaPQ)EBC1607696(IMF)WPIEA2008006WPIEA2008006(EXLCZ)99317000000005498720020129d2008 uf 0engur|n|---|||||txtccrFinancial Instruments to Hedge Commodity Price Risk for Developing Countries /Yinqiu Lu, Salih Neftci1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (22 p.)IMF Working Papers"January 2008."9781451913217 1451913214 Includes bibliographical references (p. 19-20).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 IntermediaryMany 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.IMF Working Papers; Working Paper ;No. 2008/006PricesDeveloping countriesCommercial productsEconomic aspectsDeveloping countriesRevenueDeveloping countriesOptions (Finance)Developing countriesBanks and BankingimfCapital and Ownership StructureimfCommercial productsimfCommoditiesimfCommodity MarketsimfCommodity pricesimfCredit default swapimfCreditimfDerivative securitiesimfFinanceimfFinancial InstrumentsimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfGoodwillimfHedgingimfInstitutional InvestorsimfInvestment & securitiesimfInvestments: CommoditiesimfInvestments: OptionsimfMacroeconomicsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfNon-bank Financial InstitutionsimfOptionsimfPension FundsimfPricesimfValue of FirmsimfDeveloping countriesEconomic policyDeveloping countriesEconomic conditionsChileimfPricesCommercial productsEconomic aspectsRevenueOptions (Finance)Banks and BankingCapital and Ownership StructureCommercial productsCommoditiesCommodity MarketsCommodity pricesCredit default swapCreditDerivative securitiesFinanceFinancial InstrumentsFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyGoodwillHedgingInstitutional InvestorsInvestment & securitiesInvestments: CommoditiesInvestments: OptionsMacroeconomicsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyNon-bank Financial InstitutionsOptionsPension FundsPricesValue of Firms338.52091724Lu Yinqiu1114888Neftci Salih1816214International Monetary Fund.Monetary and Capital Markets Department.DcWaIMFBOOK9910956154303321Financial Instruments to Hedge Commodity Price Risk for Developing Countries4372011UNINA