Financial instruments to hedge commodity price risk for developing countries [[electronic resource] /] / prepared by Yinqiu Lu and Salih Neftci

• Autore: Lu Yinqiu
• 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
• Serie: IMF working paper ; ; WP/08/6.