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Financial instruments to hedge commodity price risk for developing countries /
Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund, Monetary and Capital Markets Dept.,
2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/6. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of a new structured product-a sovereign Eurobond with an embedded option on a specific commodity price. By extracting commodity price risk out of the bond, such an instrument insulates the bond default risk from commodity price movements, allowing it to be marketed at a lower credit spread. The product is also designed to help developing countries establish a credit derivatives market, which would in turn enhance the marketability and liquidity of sovereign bonds. |
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| Descripción Física: | 1 online resource (20 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 19-20). |
| ISBN: | 1451913214 9781451913217 1462397182 9781462397181 1452794502 9781452794501 1451868685 9781451868685 9786612840395 6612840390 1282840398 9781282840393 |
| ISSN: | 2227-8885 ; |