A pricing model for sovereign bond

Detalhes bibliográficos
Autor(a) principal: Varga, Gyorgy
Data de Publicação: 1998
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12377
Resumo: Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. The results show a fundamental pricing model for sovereign bond and an optimum relation between the debt size, term, mix between floating and fixed interest payments, and size of reserves. The model is tested with a Brazilian BradyBond.
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spelling Varga, GyorgyEscolas::EPGEFGV2014-11-11T11:26:21Z2014-11-11T11:26:21Z1998-07-16http://hdl.handle.net/10438/12377Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. The results show a fundamental pricing model for sovereign bond and an optimum relation between the debt size, term, mix between floating and fixed interest payments, and size of reserves. The model is tested with a Brazilian BradyBond.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessA pricing model for sovereign bondinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaDebênturesTaxas de jurosTítulos (Finanças)Dívida públicareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000089472.pdf000089472.pdfapplication/pdf649779https://repositorio.fgv.br/bitstreams/d6a40b85-8187-4c01-94f1-ca5abfee6067/download72bbd879f201bace7ec479f99c8aaca8MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/970df543-8dfa-4027-a1e0-b8da4cb612b3/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000089472.pdf.txt000089472.pdf.txtExtracted 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dc.title.eng.fl_str_mv A pricing model for sovereign bond
title A pricing model for sovereign bond
spellingShingle A pricing model for sovereign bond
Varga, Gyorgy
Economia
Debêntures
Taxas de juros
Títulos (Finanças)
Dívida pública
title_short A pricing model for sovereign bond
title_full A pricing model for sovereign bond
title_fullStr A pricing model for sovereign bond
title_full_unstemmed A pricing model for sovereign bond
title_sort A pricing model for sovereign bond
author Varga, Gyorgy
author_facet Varga, Gyorgy
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Varga, Gyorgy
dc.subject.area.por.fl_str_mv Economia
topic Economia
Debêntures
Taxas de juros
Títulos (Finanças)
Dívida pública
dc.subject.bibliodata.por.fl_str_mv Debêntures
Taxas de juros
Títulos (Finanças)
Dívida pública
description Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. The results show a fundamental pricing model for sovereign bond and an optimum relation between the debt size, term, mix between floating and fixed interest payments, and size of reserves. The model is tested with a Brazilian BradyBond.
publishDate 1998
dc.date.issued.fl_str_mv 1998-07-16
dc.date.accessioned.fl_str_mv 2014-11-11T11:26:21Z
dc.date.available.fl_str_mv 2014-11-11T11:26:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12377
url http://hdl.handle.net/10438/12377
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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