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Country Insurance Using Financial Instruments
Ricci, Luca Antonio; Chamon, Marcos; Zhang, Yuanyan Sophia - International Monetary Fund (IMF) - 2011
instruments can explain much of the in-sample variation in borrowing spreads, this fails to materialize in hedging strategies that … and innovation costs could justify the limited interest for this type of hedging in practice …
Persistent link: https://www.econbiz.de/10009203536
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Hedging Foreign Exchange Risk in Chile; Markets and Instruments
Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2005
Policy makers have expressed interest in fostering the development of local foreign exchange derivatives markets with a view to reducing risks arising from currency mismatches between assets and liabilities in the corporate sector. This paper assesses foreign exchange exposure in the corporate...
Persistent link: https://www.econbiz.de/10005599533
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Financial Instruments to Hedge Commodity Price Risk for Developing Countries
Lu, Yinqiu; Neftci, Salih N. - International Monetary Fund (IMF) - 2008
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...
Persistent link: https://www.econbiz.de/10005604862
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FX Funding Risks and Exchange Rate Volatility–Korea’s Case
Ree, Jack; Yoon, Kyoungsoo; Park, Hail - International Monetary Fund (IMF) - 2012
This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...
Persistent link: https://www.econbiz.de/10011142019
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South Africa; Detailed Assessment of Implementation on IOSCO Principles-Securities Markets
International Monetary Fund (IMF); International … - 2010
South Africa has made substantial progress in addressing the recommendations of the Financial Sector Assessment Program and is continuing to build upon these accomplishments. The Financial Services Board and Department of Trade and Industry both are organizations with the legal authority to...
Persistent link: https://www.econbiz.de/10011245358
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Pension Reform and Macroeconomic Stability in Latin America
Roldos, Jorge - International Monetary Fund (IMF) - 2007
This paper reviews macroeconomic aspects of pension reforms in Latin America, focusing on financial market stability and fiscal sustainability. Concentration of pension fund portfolios in government bonds remains high, and the lack of new investment alternatives has distorted asset prices....
Persistent link: https://www.econbiz.de/10005248326
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Hedging with Foreign-listed Single Stock Futures
Hung, Mao-wei; Lee, Cheng-few; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2005
estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London …, conventional OLS method, and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst. …
Persistent link: https://www.econbiz.de/10011109598
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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - International Monetary Fund (IMF) - 2010
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi … 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment … hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in …
Persistent link: https://www.econbiz.de/10008560448
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Counterparty Risk in the Over-The-Counter Derivatives Market
Singh, Manmohan; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2008
risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one … or more banks or primary broker-dealers. We then stress the importance of "netting" within the OTC derivative contracts …
Persistent link: https://www.econbiz.de/10005825910
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Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties
Aitken, James; Singh, Manmohan - International Monetary Fund (IMF) - 2009
shown that OTC derivative positions are not supported by sufficient capital, constituting a major risk for participants in …
Persistent link: https://www.econbiz.de/10008528640