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
Tabla de Contenidos:
  • 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
  • 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
  • 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
  • 15 Expected Theoretical Values for the Warrants Over TimeVII. Conclusions; Appendices; 1. Investors' Survey; 2. Discounting Cash Flows; References

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