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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Galai, Dan (Autor), Wiener, Zvi (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/110.
Temas:
Bank deposits.
Credit.
Banks and banking, Foreign.
Dépôts bancaires.
Crédit.
Banques étrangères.
credit.
Bank deposits
Banks and banking, Foreign
Credit
Acceso en línea:Texto completo

MARC

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100 1 |a Galai, Dan,  |e author. 
245 1 0 |a Credit risk spreads in local and foreign currencies /  |c prepared by Dan Galai and Zvi Wiener. 
260 |a [Washington, D.C.] :  |b International Monetary Fund,  |c ©2009. 
300 |a 1 online resource (20 pages) :  |b color illustrations 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
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490 1 |a IMF working paper ;  |v WP/09/110 
504 |a Includes bibliographical references (pages 18-20). 
588 0 |a Print version record. 
520 |a 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 
506 |3 Use copy  |f Restrictions unspecified  |2 star  |5 MiAaHDL 
533 |a Electronic reproduction.  |b [Place of publication not identified] :  |c HathiTrust Digital Library,  |d 2011.  |5 MiAaHDL 
538 |a 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.  |u http://purl.oclc.org/DLF/benchrepro0212  |5 MiAaHDL 
583 1 |a digitized  |c 2011  |h HathiTrust Digital Library  |l committed to preserve  |2 pda  |5 MiAaHDL 
546 |a English. 
505 2 |a Model -- Numerical examples and illustrations -- Credit spreads and modigliani and miller propositions -- Implications and conclusions. 
590 |a ProQuest Ebook Central  |b Ebook Central Academic Complete 
650 0 |a Bank deposits. 
650 0 |a Credit. 
650 0 |a Banks and banking, Foreign. 
650 6 |a Dépôts bancaires. 
650 6 |a Crédit. 
650 6 |a Banques étrangères. 
650 7 |a credit.  |2 aat 
650 7 |a Bank deposits  |2 fast 
650 7 |a Banks and banking, Foreign  |2 fast 
650 7 |a Credit  |2 fast 
700 1 |a Wiener, Zvi,  |e author. 
710 2 |a International Monetary Fund.  |b Monetary and Capital Markets Department. 
758 |i has work:  |a Credit risk spreads in local and foreign currencies (Text)  |1 https://id.oclc.org/worldcat/entity/E39PCGdBhxvQdRktVbDDGvbmkC  |4 https://id.oclc.org/worldcat/ontology/hasWork 
776 0 8 |i Print version:  |a Galai, Dan.  |t Credit risk spreads in local and foreign currencies.  |d [Washington, D.C.] : International Monetary Fund, Monetary and Capital Markets Dept., ©2009  |w (OCoLC)631109823 
830 0 |a IMF working paper ;  |v WP/09/110. 
856 4 0 |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1608302  |z Texto completo 
880 0 |6 505-01/(S  |a Contents; I. Introduction; II. The Model; III. Numerical Examples and Illustrations; Tables; 1. The Euro-Denominated Debt Spread, Face Value, PD, and the Cost of Credit Risk as a Function of Correlations; IV. Credit Spreads and Modigliani and Miller Propositions; Figures; 1. Spreads on Foreign-Currency Bonds and Correlations; 2. Betas of Stocks and Foreign Currency Bonds for Various Correlations; 2. The Expected Return on Stock (yS) as a Function of the B/S Ratio; V. Implications and Conclusions; 3. The Expected Return on Stock y S as a Function of the B/S Ratio and Correlation Coefficient ρ. 
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