Hidden Bibliographic Details
| Other authors / contributors: | Neftci, Salih N., author.
International Monetary Fund. Monetary and Capital Markets Department.
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| ISBN: | 1451913214
9781451913217
1462397182
9781462397181
1452794502
9781452794501
1451868685
9781451868685
9786612840395
6612840390
1282840398
9781282840393
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| Digital file characteristics: | text file
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| Notes: | Includes bibliographical references (pages 19-20).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
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. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | 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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| Other form: | Print version: Lu, Y. (Yinqiu). Financial instruments to hedge commodity price risk for developing countries. Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2008
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| Standard no.: | 10.5089/9781451913217.001
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