LEADER 05842oam 22014054 450 001 9910788334703321 005 20230721045707.0 010 $a1-4623-2752-4 010 $a1-4527-1980-2 010 $a1-4518-7257-7 010 $a9786612843259 010 $a1-282-84325-7 035 $a(CKB)3170000000055269 035 $a(EBL)1608302 035 $a(SSID)ssj0000940104 035 $a(PQKBManifestationID)11592416 035 $a(PQKBTitleCode)TC0000940104 035 $a(PQKBWorkID)10938246 035 $a(PQKB)10337771 035 $a(OCoLC)645513273 035 $a(MiAaPQ)EBC1608302 035 $a(IMF)WPIEE2009110 035 $a(EXLCZ)993170000000055269 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCredit Risk Spreads in Local and Foreign Currencies /$fZvi Wiener, Dan Galai 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (22 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4519-1687-6 320 $aIncludes bibliographical references. 327 $aContents; 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 ? 327 $a4. 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; References 330 3 $aThe paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company's assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have "natural hedges" of their foreign currency exposures. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/110 606 $aCredit$xMathematical models 606 $aFinancial risk management 606 $aBanks and Banking$2imf 606 $aForeign Exchange$2imf 606 $aInvestments: Bonds$2imf 606 $aMoney and Monetary Policy$2imf 606 $aContingent Pricing$2imf 606 $aFutures Pricing$2imf 606 $aoption pricing$2imf 606 $aInternational Financial Markets$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMonetary economics$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aFinancial services law & regulation$2imf 606 $aInvestment & securities$2imf 606 $aCurrencies$2imf 606 $aExchange rates$2imf 606 $aCredit risk$2imf 606 $aBonds$2imf 606 $aCredit$2imf 606 $aMoney$2imf 606 $aFinancial regulation and supervision$2imf 606 $aFinancial institutions$2imf 606 $aFinancial risk management$2imf 607 $aUnited States$2imf 615 0$aCredit$xMathematical models. 615 0$aFinancial risk management. 615 7$aBanks and Banking 615 7$aForeign Exchange 615 7$aInvestments: Bonds 615 7$aMoney and Monetary Policy 615 7$aContingent Pricing 615 7$aFutures Pricing 615 7$aoption pricing 615 7$aInternational Financial Markets 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMonetary economics 615 7$aCurrency 615 7$aForeign exchange 615 7$aFinancial services law & regulation 615 7$aInvestment & securities 615 7$aCurrencies 615 7$aExchange rates 615 7$aCredit risk 615 7$aBonds 615 7$aCredit 615 7$aMoney 615 7$aFinancial regulation and supervision 615 7$aFinancial institutions 615 7$aFinancial risk management 700 $aWiener$b Zvi$01472685 701 $aGalai$b Dan$0147260 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788334703321 996 $aCredit Risk Spreads in Local and Foreign Currencies$93685552 997 $aUNINA