Insurance Value of International Reserves [electronic resource] : An Option Pricing Approach / Jaewoo Lee.
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TextSeries: IMF Working Papers; Working Paper ; No. 04/175Publication details: Washington, D.C. : International Monetary Fund, 2004Description: 1 online resource (28 p.)ISBN: 1451858787 :ISSN: 1018-5941Subject(s): Currency Crises | External Debt | International Reserves | Open Economy Macroeconomics | Option | Reserve Holding | Chile | China, People's Republic of | Korea, Republic of | ThailandAdditional physical formats: Print Version:: Insurance Value of International Reserves : An Option Pricing ApproachOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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.
Description based on print version record.
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