Is there a Novelty Premiumon New Financial Instruments? : the Argentine Experience with Gdp-Indexed Warrants /

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions....

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Ricci, Luca Antonio
Autor Corporativo: International Monetary Fund
Otros Autores: Chamon, Marcos, Costa, Alejo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, 2008.
Colección:IMF Working Papers ; Working Paper no. 08/109.
Temas:
Country Insurance.
Economic Models.
Financial Development.
Financial Instruments.
Gdp-indexed Bonds.
Insurance.
Premium.
Argentina.
Argentina
Acceso en línea:Texto completo

MARC

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100 1 |a Ricci, Luca Antonio. 
245 1 0 |a Is there a Novelty Premiumon New Financial Instruments? :  |b the Argentine Experience with Gdp-Indexed Warrants /  |c Ricci, Luca Antonio. 
260 |a Washington, D.C. :  |b International Monetary Fund,  |c 2008. 
300 |a 1 online resource (40 pages). 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
490 1 |a IMF Working Papers,  |x 2227-8885 ;  |v Working Paper No. 08/109 
500 |a Available in PDF, ePUB, and Mobi formats on the Internet. 
520 3 |a This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast. 
505 0 |a I. Introduction; II. The Argentine GDP-Warrants; Tables; 1. Main Economic Indicators; Figures; 1. GDP Warrants -- Currency Distribution; 2. Base Level GDP and GDP Growth; 2. GPD-Linked Unit: Outstanding Value, Units of Currency and Payments; III. Market Response; IV. Theoretical Value; 3. GDP Warrants -- Market Price; A. Discount Rate; B. GDP; C. Inflation and the Exchange Rate; V. Main Baseline Results for the US GDP Warrant; 3. Baseline Assumptions; 4. US GDP Warrant Theoretical Values Using Random Sampling from 1981-2007 Residuals; A. Main Factors Behind Valuation Changes 
505 8 |a 5. US GDP Warrant Premiums Using Random Sampling from 1980-2007 ResidualsB. Comparisons with Investment Bank Valuations; 6. Factors Explaining Price Changes; 7. US GDP Warrant Theoretical Value Under Average Investment Bank Assumptions and Market Prices; 8. US GDP Warrant Premiums Using Average Investment Bank Assumptions; 9. US GDP Warrant Residual Premium Under Different Scenarios; VI. Other Valuation Exercises; A. Theoretical Values for the Arg GDP Warrant; 10. Arg GDP Warrant Using Random Sampling from 1981-2007 Residuals; B. Theoretical Values for the Euro GDP Warrant 
505 8 |a C. The Effect of Exchange Rates and Inflation11. Arg GDP Warrant Premiums Using Random Sampling from 1981-2007 Residuals; 12. Euro GDP Warrant Premiums Using Random Sampling from 1981-2007 Residuals; 13. Arg GDP Warrant Theoretical Values Robustness With Respect to Inflation; D. The Effect of Growth; 4. Sensitivity on 2007/2008 Baseline Growth +/- 1.5%; 5. Sensitivity on Convergence Year; E. The Effect of Uncertainty; F. Expected Value for the Remaining Maturity; 14a. Expected Cash Flows; 14b. Distribution of Expected Effective Maturity 
505 8 |a 15 Expected Theoretical Values for the Warrants Over TimeVII. Conclusions; Appendices; 1. Investors' Survey; 2. Discounting Cash Flows; References 
590 |a ProQuest Ebook Central  |b Ebook Central Academic Complete 
651 0 |a Argentina. 
650 4 |a Country Insurance. 
650 4 |a Economic Models. 
650 4 |a Financial Development. 
650 4 |a Financial Instruments. 
650 4 |a Gdp-indexed Bonds. 
650 4 |a Insurance. 
650 4 |a Premium. 
651 7 |a Argentina  |2 fast  |1 https://id.oclc.org/worldcat/entity/E39PBJcrjkRFYtgPrCcwjFWYyd 
700 1 |a Chamon, Marcos. 
700 1 |a Ricci, Luca Antonio. 
700 1 |a Costa, Alejo. 
710 2 |a International Monetary Fund. 
758 |i has work:  |a Is there a novelty premium on new financial instruments? (Text)  |1 https://id.oclc.org/worldcat/entity/E39PCFRKJyWq7f9p37CVkqKdpP  |4 https://id.oclc.org/worldcat/ontology/hasWork 
830 0 |a IMF Working Papers ;  |v Working Paper no. 08/109. 
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