Credit Risk Spreads in Local and Foreign Currencies:
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the ret...
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2009
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Schriftenreihe: | IMF Working Papers
Working Paper No. 09/110 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company''s assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have ""natural hedges"" of their foreign currency exposures |
Beschreibung: | 1 Online-Ressource (20 p) |
ISBN: | 1451872577 9781451872576 |
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spelling | Wiener, Zvi Verfasser aut Credit Risk Spreads in Local and Foreign Currencies Wiener, Zvi Washington, D.C International Monetary Fund 2009 1 Online-Ressource (20 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 09/110 The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company''s assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have ""natural hedges"" of their foreign currency exposures Online-Ausg Galai, Dan Sonstige oth http://elibrary.imf.org/view/IMF001/10179-9781451872576/10179-9781451872576/10179-9781451872576.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Wiener, Zvi Credit Risk Spreads in Local and Foreign Currencies |
title | Credit Risk Spreads in Local and Foreign Currencies |
title_auth | Credit Risk Spreads in Local and Foreign Currencies |
title_exact_search | Credit Risk Spreads in Local and Foreign Currencies |
title_exact_search_txtP | Credit Risk Spreads in Local and Foreign Currencies |
title_full | Credit Risk Spreads in Local and Foreign Currencies Wiener, Zvi |
title_fullStr | Credit Risk Spreads in Local and Foreign Currencies Wiener, Zvi |
title_full_unstemmed | Credit Risk Spreads in Local and Foreign Currencies Wiener, Zvi |
title_short | Credit Risk Spreads in Local and Foreign Currencies |
title_sort | credit risk spreads in local and foreign currencies |
url | http://elibrary.imf.org/view/IMF001/10179-9781451872576/10179-9781451872576/10179-9781451872576.xml |
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