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Bewertung von Länderrisiken durch Optionspreismethoden

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Klein, M. Bewertung von Länderrisiken durch Optionspreismethoden. Credit and Capital Markets – Kredit und Kapital, 24(4), 484-506. https://doi.org/10.3790/ccm.24.4.484
Klein, Martin "Bewertung von Länderrisiken durch Optionspreismethoden" Credit and Capital Markets – Kredit und Kapital 24.4, 1991, 484-506. https://doi.org/10.3790/ccm.24.4.484
Klein, Martin (1991): Bewertung von Länderrisiken durch Optionspreismethoden, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 4, 484-506, [online] https://doi.org/10.3790/ccm.24.4.484

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Bewertung von Länderrisiken durch Optionspreismethoden

Klein, Martin

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 4 : pp. 484–506

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Martin Klein, Bonn

References

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  35. 10. Edwards, S., 1984, „LDC Borrowing and Default Risk: An Empirical Investigation“, American Economic Review 74, 726 – 734.  Google Scholar
  36. 11. Feder, G., und R. Just, 1977, „A Study of Debt-Servicing Capacity Applying Logit Analysis“, Journal of Development Economics 4, 25 – 38.  Google Scholar
  37. 12. Frank, C.R. Jr., und W. R. Cline, 1971, „Measurement of Debt Servicing Capacity: An Application of Discriminant Analysis“, Journal of International Economics, 327 – 344.  Google Scholar
  38. 13. Heffernan, S. A., 1986, Sovereign Risk Analysis, London: Unwin Hyman.  Google Scholar
  39. 14. Hellwig, M., 1986, „Comments: The Pure Theory of Country Risk“, European Economic Review 30, 521 -527.  Google Scholar
  40. 15. Kharas, H., 1984, „The Long-Run Creditworthiness of Developing Countries: Theory and Practice“, Quarterly Journal of Economics 99, 415 – 439.  Google Scholar
  41. 16. Köglmayr, H.-G., 1986, „Erfassung und Handhabung von Länderrisiken“, WiSt, Heft 4,211 – 214.  Google Scholar
  42. 17. Köglmayr, H.-G. und S. Müller, 1987, „Bewertung von Länderrisiken“, Die Bank, Heft 7, 378 – 284.  Google Scholar
  43. 18. Lloyd-Ellis, H., G. W. McKenzie, und S. H. Thomas, 1990, „Predicting the Quantity of LDC Debt Rescheduling“, Economics Letters 32, 67-73.  Google Scholar
  44. 19. Maddala, G. S., 1983, Limited-dependent and Qualitative Variables in Econometrics, Cambridge: Cambridge University Press.  Google Scholar
  45. 20. McDonald, D. C., 1981, „Debt Capacity and Developing Country Borrowing: A Survey ofthe Literature“, IMF Staff Papers 29, 603 – 646.  Google Scholar
  46. 21. Merton, R., 1973, „Theory of Rational Option Pricing“, Bell Journal of Economics and Management Science 4, 141 – 183.  Google Scholar
  47. 22. Müller, S., 1985, Arbitrage Pricing of Contingent Claims, Springer Verlag, Heidelberg, Berlin, New York, Tokyo.  Google Scholar
  48. 23. Rieffel, A., 1985, The Role of the Paris Club in Managing Debt Problems, Essays in International Finance No. 161, Princeton University, Princeton, New Jersey.  Google Scholar
  49. 24. Rubinstein, M., „Derivative Assets Analysis“, Economic Perspectives, Vol. 1, No. 2, 1987, 73 – 93.  Google Scholar
  50. 25. Varian, H. R., 1987, „The Arbitrage Principle in Financial Economics“, Economic Perspectives, Vol. 1, No. 2, 1987, 55 – 72.  Google Scholar

Abstract

Evaluation of Country Risks by Means of Option Price Methods

The aim of this contribution is to preesent an option price model for the determination of spreads (interest premiums) in the case of lendings to foreign governments. The starting point is a stylized model for the tying-up of debt rescheduling packages. This model allows the determination of the market value of a country’s foreign debts by means of option price theory-methods. Conceptually, this approach is based on the question as to what amount of insurance premium a lender would be prepared to pay in order to be able to move out of any lending to a foreign government at par. Such amount of insurance premium subsequently allows the spread to be estimated for a lending transaction under which the lender does not have or does not use the possibility of moving out at par. This contribution ends on a discussion of the question as to whether and, if so, to what extent the described model is capable of furnishing results that are relevant for practical financial management purposes and useful in quantitative terms