Cover Image
Read Now

Insurance Value of International Reserves An Option Pricing Approach

A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied t...

Full description

Bibliographic Details
Main Author: Lee, Jaewoo
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2004
Series:IMF Working Papers
Subjects:
Inflation
Foreign Exchange Reserves
Institutional Investors
Pension Funds
Asset Valuation
Finance
Financial Institutions
Financial Instruments
Deflation
Options
Open Economy Macroeconomics
Asset And Liability Management
Investments: Options
Central Banks
Asset Prices
International Financial Markets
Derivative Securities
Non-bank Financial Institutions
Price Level
Foreign Exchange
International Reserves
Banks And Banking
Asset-liability Management
Prices
Macroeconomics
Banking
Actuarial Studies
Financial Risk Management
Monetary Policy
Insurance Companies
Insurance
Insurance & Actuarial Studies
Korea, Republic Of
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance arrangement (e.g., an Asian Monetary Fund) and to analyzing one leg of an optimal reserve-holding decision
Physical Description:28 pages
ISBN:9781451858785

Similar Items