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LNG in the Northwestern Coast of Mexico. Impact on Natural Gas on Both Sides of the U. S.-Mexico Border

Elizalde, Alberto; Rosellón, Juan; Méritet, Sophie - Université Paris-Dauphine (Paris IX) - 2006

This paper studies the possible impacts of liquefied natural gas (LNG) projects on natural gas prices on both sides of the U. S.-Mexico border in California. In that state gas prices are high and demand is expected to grow. Several projects for LNG facilities have been proposed and have to cope...

Persistent link: https://www.econbiz.de/10011072862

Algeria; Selected Issues

International Monetary Fund (IMF); International … - 2005

This Selected Issues paper on Algeria reports that the authorities have relied on an expansionary fiscal stance to stimulate growth and employment, but structural reforms have virtually stalled. Although the economy has recorded increasing growth, the nonhydrocarbon sector remains small and...

Persistent link: https://www.econbiz.de/10005591638

Qatar; 2010 Article IV Consultation-Staff Report; Staff Statement and Supplement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Qatar

International Monetary Fund (IMF); International … - 2011

Qatar has weathered the global economic crisis well. Enhancement of liquefied natural gas capacity (LNG), government support to the banking system, and increase in public spending sustain the high growth rates. There is a need to monitor aggregate demand to prevent the resurgence of inflation...

Persistent link: https://www.econbiz.de/10011245523

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

First; A Market-Based Approach to Evaluate Financial System Risk and Stability

Avesani, Renzo G. - International Monetary Fund (IMF) - 2005

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial...

Persistent link: https://www.econbiz.de/10005264101

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Cheng, Kevin C. - International Monetary Fund (IMF) - 2010

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...

Persistent link: https://www.econbiz.de/10008646431

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

Pricing Weather Derivatives

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

Persistent link: https://www.econbiz.de/10005805319

Optimal reinsurance with premium constraint under distortion risk measures

Zheng, Yanting; Cui, Wei - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 109-120

premium constraint under two special distortion risk measures—VaR and TVaR. …

Persistent link: https://www.econbiz.de/10011116643