Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci
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| Autore: |
Lu Yinqiu
|
| Titolo: |
Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (22 p.) |
| Disciplina: | 338.52091724 |
| Soggetto topico: | Prices - Developing countries |
| Commercial products - Economic aspects - Developing countries | |
| Revenue - Developing countries | |
| Options (Finance) - Developing countries | |
| Banks and Banking | |
| Capital and Ownership Structure | |
| Commercial products | |
| Commodities | |
| Commodity Markets | |
| Commodity prices | |
| Credit default swap | |
| Credit | |
| Derivative securities | |
| Finance | |
| Financial Instruments | |
| Financial Risk and Risk Management | |
| Financial risk management | |
| Financial services law & regulation | |
| Financing Policy | |
| Goodwill | |
| Hedging | |
| Institutional Investors | |
| Investment & securities | |
| Investments: Commodities | |
| Investments: Options | |
| Macroeconomics | |
| Monetary economics | |
| Monetary Policy, Central Banking, and the Supply of Money and Credit: General | |
| Money and Monetary Policy | |
| Non-bank Financial Institutions | |
| Options | |
| Pension Funds | |
| Prices | |
| Value of Firms | |
| 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.: | 9910807490003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2008/006