Format:
Online-Ressource (22 p)
Edition:
Online-Ausg.
ISBN:
1451842333
,
9781451842333
Series Statement:
IMF Working Papers Working Paper No. 90/7
Content:
Most developing country debt is denominated in U.S. dollars and has a floating interest rate. The pricing of floating rate debt and related interest rate options are examined in this paper. Formulas for pricing ceilings and floors on floating rate debt are derived for several different models of interest rate variability. A framework for pricing risky debt and loan guarantees is presented, and the implications of the debtor country’s default option are analyzed. The elimination of large principal repayments, by collateralizing the principal, serves to reduce the debtor country’s incentive to use its default option
Additional Edition:
Erscheint auch als Druck-Ausgabe Scott, Louis Pricing Floating-Rate Debt and Related Interest Rate Options Washington, D.C. : International Monetary Fund, 1990 ISBN 9781451842333
Language:
English
DOI:
10.5089/9781451842333.001
