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Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants »

Source: Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Volume/Issue: 2008/109

Series: IMF Working Papers

Author(s): Luca Ricci , Marcos Chamon , and Alejo Costa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869699

Keywords: GDP-indexed bonds, country insurance, financial development, premium, discount rate, inflation, bonds, bond, cash flows,

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the...

Asset Price Bubbles

Asset Price Bubbles »

Source: Asset Price Bubbles : A Selective Survey

Volume/Issue: 2013/45

Series: IMF Working Papers

Author(s): Anna Scherbina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 February 2013

ISBN: 9781475515299

Keywords: Bubbles, Limits to Arbitrage, stock market, discount rate, mortgage, cash flows, financial economics, General,

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with fric...

Sovereign Risk in Macroprudential Solvency Stress Testing

Sovereign Risk in Macroprudential Solvency Stress Testing »

Source: Sovereign Risk in Macroprudential Solvency Stress Testing

Volume/Issue: 2019/266

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Hiroko Oura

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2019

ISBN: 9781513519968

Keywords: Financial crises, External sector, Financial markets, Financial institutions, Financial instruments, FSAP, macroprudential, sovereign risk, stress testing, valuation haircut

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessi...

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants

Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants »

Volume/Issue: 2008/109

Series: IMF Working Papers

Author(s): Luca Ricci , Marcos Chamon , and Alejo Costa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

DOI: http://dx.doi.org/10.5089/9781451869699.001

ISBN: 9781451869699

Keywords: GDP-indexed bonds, country insurance, financial development, premium, discount rate, inflation, bonds, bond, cash flows,

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the...

Asset Price Bubbles
			: A Selective Survey

Asset Price Bubbles : A Selective Survey »

Volume/Issue: 2013/45

Series: IMF Working Papers

Author(s): Anna Scherbina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 February 2013

DOI: http://dx.doi.org/10.5089/9781475515299.001

ISBN: 9781475515299

Keywords: Bubbles, Limits to Arbitrage, stock market, discount rate, mortgage, cash flows, financial economics, General,

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with fric...

Sovereign Risk in Macroprudential Solvency Stress Testing

Sovereign Risk in Macroprudential Solvency Stress Testing »

Volume/Issue: 2019/266

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Hiroko Oura

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2019

DOI: http://dx.doi.org/10.5089/9781513519968.001

ISBN: 9781513519968

Keywords: Financial crises, External sector, Financial markets, Financial institutions, Financial instruments, FSAP, macroprudential, sovereign risk, stress testing, valuation haircut

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessi...