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Book Cover
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. 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