Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci

• Autore: Lu Yinqiu
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 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; Banks and Banking; Investments: Commodities; Investments: Options; Macroeconomics; Money and Monetary Policy; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Commodity Markets; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill; Finance; Monetary economics; Investment & securities; Financial services law & regulation; Options; Commodity prices; Credit default swap; Commodities; Hedging; Derivative securities; Prices; Credit; Commercial products; Financial risk management
• Soggetto geografico: Developing countries Economic policy; Developing countries Economic conditions; Chile
• Altri autori: NeftciSalih
• 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 is also designed to help developing countries establish a credit derivatives market, which would in turn enhance the marketability and liquidity of sovereign bonds.
• 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.: 9910788247103321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2008/006