06085oam 22015134 450 991096559620332120250426110455.0978661284325997814623275221462327524978145271980114527198029781451872576145187257797812828432571282843257(CKB)3170000000055269(EBL)1608302(SSID)ssj0000940104(PQKBManifestationID)11592416(PQKBTitleCode)TC0000940104(PQKBWorkID)10938246(PQKB)10337771(OCoLC)645513273(IMF)WPIEE2009110(MiAaPQ)EBC1608302(IMF)WPIEA2009110WPIEA2009110(EXLCZ)99317000000005526920020129d2009 uf 0engur|n|---|||||txtccrCredit Risk Spreads in Local and Foreign Currencies /Zvi Wiener, Dan Galai1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.9781451916874 1451916876 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 BankingimfBondsimfCapital and Ownership StructureimfContingent PricingimfCredit riskimfCreditimfCurrenciesimfCurrencyimfExchange ratesimfFinancial institutionsimfFinancial regulation and supervisionimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfForeign ExchangeimfForeign exchangeimfFutures PricingimfGeneral Financial Markets: General (includes Measurement and Data)imfGoodwillimfGovernment and the Monetary SystemimfInternational Financial MarketsimfInvestment & securitiesimfInvestments: BondsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfOption pricingimfPayment SystemsimfRegimesimfStandardsimfValue of FirmsimfUnited StatesimfCreditMathematical models.Financial risk management.Banks and BankingBondsCapital and Ownership StructureContingent PricingCredit riskCreditCurrenciesCurrencyExchange ratesFinancial institutionsFinancial regulation and supervisionFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyForeign ExchangeForeign exchangeFutures PricingGeneral Financial Markets: General (includes Measurement and Data)GoodwillGovernment and the Monetary SystemInternational Financial MarketsInvestment & securitiesInvestments: BondsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMonetary SystemsMoney and Monetary PolicyMoneyOption pricingPayment SystemsRegimesStandardsValue of Firms332.152Wiener Zvi1816635Galai Dan147260DcWaIMFBOOK9910965596203321Credit Risk Spreads in Local and Foreign Currencies4372888UNINA