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Autore: | Lu Yinqiu |
Titolo: | Financial instruments to hedge commodity price risk for developing countries [[electronic resource] /] / prepared by Yinqiu Lu and Salih Neftci |
Pubblicazione: | Washington, D.C., : International Monetary Fund, Monetary and Capital Markets Dept., 2008 |
Descrizione fisica: | 1 online resource (22 p.) |
Soggetto topico: | Prices - Developing countries |
Commercial products - Economic aspects - Developing countries | |
Revenue - Developing countries | |
Options (Finance) - Developing countries | |
Soggetto geografico: | Developing countries Economic policy |
Developing countries Economic conditions | |
Soggetto genere / forma: | Electronic books. |
Altri autori: | NeftciSalih N |
Note generali: | "January 2008." |
Nota di bibliografia: | Includes bibliographical references (p. 19-20). |
Nota di contenuto: | 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 Intermediary |
Sommario/riassunto: | Many 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 |
Titolo autorizzato: | Financial instruments to hedge commodity price risk for developing countries |
ISBN: | 1-4623-9718-2 |
1-4527-9450-2 | |
1-4518-6868-5 | |
9786612840395 | |
1-282-84039-8 | |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910464007703321 |
Lo trovi qui: | Univ. Federico II |
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