Verfügbarkeit: Pricing Fund Liquidity Provision

Pricing Fund Liquidity Provision:

This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only illustrative, th...

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1. Verfasser:	Rossi, Marco (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2007
Schriftenreihe:	IMF Working Papers Working Paper No. 07/45
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only illustrative, the simulations presented in this paper show that the value of the liquidity guarantee provided by the Fund could range from a few to over one hundred basis points depending on the borrower''s creditworthiness, the volatility of capital flows to the borrowing country, and the amount of funds potentially needed to meet the borrower''s external obligations
Beschreibung:	1 Online-Ressource (11 p)
ISBN:	1451866097 9781451866094

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spelling	Rossi, Marco Verfasser aut Pricing Fund Liquidity Provision Rossi, Marco Washington, D.C International Monetary Fund 2007 1 Online-Ressource (11 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 07/45 This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only illustrative, the simulations presented in this paper show that the value of the liquidity guarantee provided by the Fund could range from a few to over one hundred basis points depending on the borrower''s creditworthiness, the volatility of capital flows to the borrowing country, and the amount of funds potentially needed to meet the borrower''s external obligations Online-Ausg http://elibrary.imf.org/view/IMF001/05409-9781451866094/05409-9781451866094/05409-9781451866094.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Rossi, Marco Pricing Fund Liquidity Provision
title	Pricing Fund Liquidity Provision
title_auth	Pricing Fund Liquidity Provision
title_exact_search	Pricing Fund Liquidity Provision
title_exact_search_txtP	Pricing Fund Liquidity Provision
title_full	Pricing Fund Liquidity Provision Rossi, Marco
title_fullStr	Pricing Fund Liquidity Provision Rossi, Marco
title_full_unstemmed	Pricing Fund Liquidity Provision Rossi, Marco
title_short	Pricing Fund Liquidity Provision
title_sort	pricing fund liquidity provision
url	http://elibrary.imf.org/view/IMF001/05409-9781451866094/05409-9781451866094/05409-9781451866094.xml
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