03127nam 2200601Ia 450 991046401730332120170815101934.01-4623-2752-41-4527-1980-21-4518-7257-797866128432591-282-84325-7(CKB)3170000000055269(EBL)1608302(SSID)ssj0000940104(PQKBManifestationID)11592416(PQKBTitleCode)TC0000940104(PQKBWorkID)10938246(PQKB)10337771(OCoLC)645513273(MiAaPQ)EBC1608302(EXLCZ)99317000000005526920041202d2009 uf 0engur|n|---|||||txtccrCredit risk spreads in local and foreign currencies[electronic resource] /prepared by Dan Galai and Zvi Wiener[Washington D.C.] International Monetary Fund20091 online resource (22 p.)IMF working paper ;WP/09/110Description 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 paper ;WP/09/110.CreditMathematical modelsFinancial risk managementElectronic books.CreditMathematical models.Financial risk management.Galai Dan147260Wiener Zvi992875MiAaPQMiAaPQMiAaPQBOOK9910464017303321Credit risk spreads in local and foreign currencies2273595UNINA00846cam0 22002533 450 SOB001697320240625084953.0880501976320040211d1989 |||||ita|0103 baitaIT<<The >>Literary LabyrinthM. Stagi Scarpa. [Vol.]2, Texts - Authors - TrendsTorinoSocietà Editrice Internazionale1989XII, 689 p.24 cmStagi_Scarpa, MariellaAF00011145070780040ITUNISOB20240625RICAUNISOBUNISOB820|Let110358SOB0016973M 102 Monografia moderna SBNM820|Let000029CON110358DONO CORRADOAlfanoUNISOBUNISOB20150716104410.020150716104449.0AlfanoLiterary Labyrinth1675774UNISOB