Insurance Value of International Reserves: An Option Pricing Approach
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
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.
Series:
Working Paper No. 2004/175
Subject:
Asset and liability management Asset prices Asset valuation Central banks Financial institutions Insurance International reserves Options Prices
English
Publication Date:
September 1, 2004
ISBN/ISSN:
9781451858785/1018-5941
Stock No:
WPIEA1752004
Pages:
28
Please address any questions about this title to publications@imf.org