Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. European Department.
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| ISBN: | 1282526405
9781282526402
9781451910629
1451910622
1462359876
9781462359875
1452704724
9781452704722
9786613821829
6613821829
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| Notes: | "February 2007."
At head of title: European Department.
Includes bibliographical references (page 11).
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: | 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.
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| Other form: | Print version: Rossi, Marco. Pricing fund liquidity provision. [Washington, D.C.] : International Monetary Fund, 2007
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| Standard no.: | 10.5089/9781451910629.001
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