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Book Cover
E-book
Author Lu, Yinqiu.

Title Financial instruments to hedge commodity price risk for developing countries / prepared by Yinqiu Lu and Salih Neftci
Published Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2008
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Description 1 online resource
Series IMF working paper ; WP/08/6
IMF working paper ; WP/08/6
Summary 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
Notes "January 2008."
Bibliography Includes bibliographical references (pages 19-20)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Commercial products -- Economic aspects -- Developing countries.
Options (Finance) -- Developing countries.
Prices -- Developing countries.
Revenue -- Developing countries.
Developing countries -- Economic conditions.
Developing countries -- Economic policy.
Form Electronic book
Author Neftci, Salih N.
ebrary, Inc.
International Monetary Fund. Monetary and Capital Markets Department.
ISBN 9781451913217
Other Titles Ebrary Academic Complete International Subscription Collection