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Credit Risk Spreads in Local and Foreign Currencies / / Zvi Wiener, Dan Galai



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Autore: Wiener Zvi Visualizza persona
Titolo: Credit Risk Spreads in Local and Foreign Currencies / / Zvi Wiener, Dan Galai Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica: 1 online resource (22 p.)
Soggetto topico: Credit - Mathematical models
Financial risk management
Banks and Banking
Foreign Exchange
Investments: Bonds
Money and Monetary Policy
Contingent Pricing
Futures Pricing
option pricing
International Financial Markets
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure
Value of Firms
Goodwill
General Financial Markets: General (includes Measurement and Data)
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Monetary economics
Currency
Foreign exchange
Financial services law & regulation
Investment & securities
Currencies
Exchange rates
Credit risk
Bonds
Credit
Money
Financial regulation and supervision
Financial institutions
Soggetto geografico: United States
Altri autori: GalaiDan  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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 ρ
4. 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
Sommario/riassunto: The 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.
Titolo autorizzato: Credit Risk Spreads in Local and Foreign Currencies  Visualizza cluster
ISBN: 1-4623-2752-4
1-4527-1980-2
1-4518-7257-7
9786612843259
1-282-84325-7
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910788334703321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2009/110