| Description |
1 online resource (20 pages) : illustrations |
| Series |
IMF working paper, 2227-8885 ; WP/08/6 |
|
IMF working paper ; WP/08/6.
|
| 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 |
| 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 |
| 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 |
|
English |
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Print version record |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Prices -- Developing countries
|
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Commercial products -- Economic aspects -- Developing countries
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Revenue -- Developing countries
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Options (Finance) -- Developing countries
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Commercial products -- Economic aspects
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Economic history
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Economic policy
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Options (Finance)
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Prices
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Revenue
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| SUBJECT |
Developing countries -- Economic policy
|
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Developing countries -- Economic conditions.
http://id.loc.gov/authorities/subjects/sh85037344
|
| Subject |
Developing countries
|
| Form |
Electronic book
|
| Author |
Neftci, Salih N., author.
|
|
International Monetary Fund. Monetary and Capital Markets Department.
|
| ISBN |
1451913214 |
|
9781451913217 |
|
1462397182 |
|
9781462397181 |
|
1452794502 |
|
9781452794501 |
|
1451868685 |
|
9781451868685 |
|
9786612840395 |
|
6612840390 |
|
1282840398 |
|
9781282840393 |
|
