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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...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2009.
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| Colección: | IMF working paper ;
WP/09/110. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 |
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| Descripción Física: | 1 online resource (20 pages) : color illustrations |
| Bibliografía: | Includes bibliographical references (pages 18-20). |
| ISBN: | 1462327524 9781462327522 1452719802 9781452719801 1451872577 9781451872576 9786612843259 661284325X 1282843257 9781282843257 |