TY  - BOOK
AU  - Wiener,Zvi
AU  - Galai,Dan
AU  - Wiener,Zvi
TI  - Credit Risk Spreads in Local and Foreign Currencies
T2  - IMF Working Papers; Working Paper
SN  - 1451872577 :
SN  - 1018-5941
PY  - 2009///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Bond
KW  - imf
KW  - Correlation
KW  - Credit Spread
KW  - Currency Mismatch
KW  - Merton's Model
KW  - Present Value
KW  - Austria
KW  - Singapore
N2  - The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company's assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have "natural hedges" of their foreign currency exposures
UR  - http://elibrary.imf.org/view/IMF001/10179-9781451872576/10179-9781451872576/10179-9781451872576.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451872576
ER  -