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The Derivatives Market in South Africa

The Derivatives Market in South Africa »

Source: The Derivatives Market in South Africa : Lessons for Sub-Saharan African Countries

Volume/Issue: 2009/196

Series: IMF Working Papers

Author(s): Olatundun Janet Adelegan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873436

Keywords: derivatives, derivatives market, futures contracts, derivative, currency futures, bond,

This paper examines the role of the derivatives market in South Africa and provides policy options for promoting the development of derivatives markets in sub-Saharan Africa. South Africa's derivatives market has g...

Préserver la stabilité financière

Préserver la stabilité financière »

Series: Economic Issues

Author(s): Garry Schinasi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2006

Language: French

DOI: http://dx.doi.org/10.5089/9781589065000.051

ISBN: 9781589065000

Keywords: financial stability, financial system, financial institutions, financial markets, financial services, financial instability, financial systems, bond, moral hazard, financial market

Spurred by advances in information and computer technologies, financial liberalization and innovation took off inthe late 1970s. Although the changes in financial markets have been beneficial overall, our understan...

Preserving Financial Stability

Preserving Financial Stability »

Series: Economic Issues

Author(s): Garry Schinasi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 January 2006

Language: Chinese

DOI: http://dx.doi.org/10.5089/9781589065017.051

ISBN: 9781589065017

Keywords: financial stability, financial system, financial institutions, financial markets, financial services, financial instability, financial systems, bond, moral hazard, financial market

Spurred by advances in information and computer technologies, financial liberalization and innovation took off inthe late 1970s. Although the changes in financial markets have been beneficial overall, our understan...

Preserving Financial Stability

Preserving Financial Stability »

Series: Economic Issues

Author(s): Garry Schinasi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 July 2007

Language: Arabic

DOI: http://dx.doi.org/10.5089/9781589065024.051

ISBN: 9781589065024

Keywords: Financial stability, financial stability, financial system, financial institutions, financial markets, financial services, financial instability, financial systems, bond, moral hazard

Spurred by advances in information and computer technologies, financial liberalization and innovation took off inthe late 1970s. Although the changes in financial markets have been beneficial overall, our understa...

What is An Emerging Market?1

What is An Emerging Market?1 »

Source: What is An Emerging Market?

Volume/Issue: 2004/177

Series: IMF Working Papers

Author(s): Ashoka Mody

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

ISBN: 9781451858907

Keywords: Commitment-Discretion Trade-Off, bonds, exchange rate, bond, exchange rate regimes, bond contracts,

As developing economies become richer, they seek to contract with the global economy in increasingly complex ways. Dealing with that complexity often implies the need to renegotiate contracts. However, such recontr...

Bond Restructuring and Moral Hazard

Bond Restructuring and Moral Hazard »

Source: Bond Restructuring and Moral Hazard : Are Collective Action Clauses Costly?

Volume/Issue: 2001/92

Series: IMF Working Papers

Author(s): Torbjorn Becker , Anthony Richards , and Yunyong Thaicharoen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451851595

Keywords: Bond restructuring, contract design, law, bonds, bond, bondholders, International Lending and Debt Problems,

Many official groups have endorsed the wider use by emerging market borrowers of contract clauses which allow for a qualified majority of bondholders to restructure repayment terms in the event of financial distres...

Overpricing in Emerging Market Credit-Default-Swap Contracts

Overpricing in Emerging Market Credit-Default-Swap Contracts »

Source: Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases

Volume/Issue: 2005/125

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

ISBN: 9781451861440

Keywords: recovery value, cheapest-to-deliver bond, credit-default-swap contract, ISDA, bond, bonds, bond prices, present value, bond price, International Lending and Debt Problems

Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values a...

The Option-iPoD

The Option-iPoD »

Source: The Option-iPoD

Volume/Issue: 2008/194

Series: IMF Working Papers

Author(s): Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2008

ISBN: 9781451870527

Keywords: endogenous default barrier, cross-entropy, option contracts, volatility smile, probability, probability density function, probability density, bond, bonds,

We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the...

A Framework for Financial Market Development

A Framework for Financial Market Development »

Source: A Framework for Financial Market Development

Volume/Issue: 2009/156

Series: IMF Working Papers

Author(s): Ralph Chami , Sunil Sharma , and Connel Fullenkamp

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2009

ISBN: 9781451873030

Keywords: Financial market development, contracts, borrowers, lenders, liquidity providers, regulators, New Institutional Economics, bonds, cash flows, bond

The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing...

Why Does Bad News Increase Volatility and Decrease Leverage?

Why Does Bad News Increase Volatility and Decrease Leverage? »

Source: Why Does Bad News Increase Volatility and Decrease Leverage?

Volume/Issue: 2010/206

Series: IMF Working Papers

Author(s): Ana Fostel , and John Geanakoplos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455205370

Keywords: Endogenous Leverage, Post-Bad News Volatility, Post-Good News Volatility, Volatility Smile, collateral, bond, bonds, financial contracts, stock options, General Equilibrium and Disequilibrium: General

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a rea...