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|a HG3881.5.I58
|b W67 NO.07/45
|
| 100 |
1 |
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|a Rossi, Marco.
|
| 245 |
1 |
0 |
|a Pricing fund liquidity provision /
|c prepared by Marco Rossi.
|
| 260 |
|
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|a [Washington, D.C.] :
|b International Monetary Fund,
|c 2007.
|
| 300 |
|
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|a 1 online resource (11 pages)
|
| 336 |
|
|
|a text
|b txt
|2 rdacontent
|
| 337 |
|
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|a computer
|b c
|2 rdamedia
|
| 338 |
|
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|a online resource
|b cr
|2 rdacarrier
|
| 500 |
|
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|a "February 2007."
|
| 500 |
|
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|a At head of title: European Department.
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| 504 |
|
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|a Includes bibliographical references (page 11).
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| 520 |
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|a This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only illustrative, the simulations presented in this paper show that the value of the liquidity guarantee provided by the Fund could range from a few to over one hundred basis points depending on the borrower's creditworthiness, the volatility of capital flows to the borrowing country, and the amount of funds potentially needed to meet the borrower's external obligations.
|
| 506 |
|
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|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 2010.
|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 2010
|h HathiTrust Digital Library
|l committed to preserve
|2 pda
|5 MiAaHDL
|
| 588 |
0 |
|
|a Print version record.
|
| 505 |
0 |
|
|a I. Introduction; II. A Pricing Framework for a Liquidity Facility; A. The Conceptual Framework; B. The Operational Framework; Pricing the put option; Assessing the probability of no access to markets; C. Some Simulations; III. Conclusion; References.
|
| 546 |
|
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|a English.
|
| 610 |
2 |
0 |
|a International Monetary Fund
|x Finance.
|
| 610 |
2 |
7 |
|a International Monetary Fund.
|2 fast
|0 (OCoLC)fst00556666
|
| 650 |
|
0 |
|a Lenders of last resort
|x Econometric models.
|
| 650 |
|
0 |
|a International liquidity
|x Econometric models.
|
| 650 |
|
0 |
|a Capital movements
|x Econometric models.
|
| 650 |
|
0 |
|a Interest rates
|x Econometric models.
|
| 650 |
|
0 |
|a Lenders of last resort.
|0 http://id.loc.gov/authorities/subjects/sh85075975
|
| 650 |
|
0 |
|a International liquidity.
|0 http://id.loc.gov/authorities/subjects/sh85067426
|
| 650 |
|
0 |
|a Capital movements.
|0 http://id.loc.gov/authorities/subjects/sh85019946
|
| 650 |
|
0 |
|a Interest rates.
|0 http://id.loc.gov/authorities/subjects/sh85067247
|
| 650 |
|
6 |
|a Prêteurs en dernier ressort.
|
| 650 |
|
6 |
|a Liquidités internationales.
|
| 650 |
|
6 |
|a Mouvements de capitaux.
|
| 650 |
|
6 |
|a Taux d'intérêt.
|
| 650 |
|
6 |
|a Prêteurs en dernier ressort
|x Modèles économétriques.
|
| 650 |
|
6 |
|a Liquidités internationales
|x Modèles économétriques.
|
| 650 |
|
6 |
|a Mouvements de capitaux
|x Modèles économétriques.
|
| 650 |
|
6 |
|a Taux d'intérêt
|x Modèles économétriques.
|
| 650 |
|
7 |
|a Capital movements
|x Econometric models.
|2 fast
|0 (OCoLC)fst00846376
|
| 650 |
|
7 |
|a Finance.
|2 fast
|0 (OCoLC)fst00924349
|
| 650 |
|
7 |
|a Interest rates
|x Econometric models.
|2 fast
|0 (OCoLC)fst00976180
|
| 655 |
|
4 |
|a Electronic books.
|
| 710 |
2 |
|
|a International Monetary Fund.
|b European Department.
|0 http://id.loc.gov/authorities/names/n86100166
|
| 776 |
0 |
8 |
|i Print version:
|a Rossi, Marco.
|t Pricing fund liquidity provision.
|d [Washington, D.C.] : International Monetary Fund, 2007
|w (OCoLC)137745077
|
| 830 |
|
0 |
|a IMF working paper ;
|v WP/07/45.
|0 http://id.loc.gov/authorities/names/no89010263
|
| 856 |
4 |
0 |
|u http://elibrary.imf.org/view/journals/001/2007/045/001.2007.issue-045-en.xml
|y INTERNATIONAL MONETARY FUND
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|t Library of Congress classification
|a HG3881.5.I58W67 NO.07/45
|l Online
|c UC-FullText
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