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http://worldcat.org/entity/work/id/474174904

Is There a Novelty Premium on New Financial Instruments? the Argentine Experience with GDP-Indexed Warrants

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast.

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  • "This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast."@en
  • "The Global Financial Stability Map was developed as a tool to interpret the risks and conditions that impact financial stability in a graphical manner. It complements other existing tools for assessing financial stability, and seeks to overcome some of the drawbacks of earlier approaches. This paper provides the motivation for the tool, a detailed discussion of its construction, including the choice of risk factors and conditions, a description of the underlying indicators, and a discussion on how the final assessment is determined. When applied to past events of financial instability, the Global Financial Stability Map performs reasonably well in signaling risks to stability, as well as in characterizing the depth of crisis episodes."

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  • "Electronic resource"
  • "Electronic books"
  • "Livres électroniques"

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  • "Is There a Novelty Premium on New Financial Instruments? the Argentine Experience with GDP-Indexed Warrants"@en
  • "Is there a novelty premium on new financial instruments? : the Argentine experience with GDP-indexed warrants"@en
  • "Is there a novelty premium on new financial instruments? : the Argentine experience with GDP-indexed warrants"
  • "Is there a novelty premium on new financial instruments? the Argentine experience with gdp-indexed warrants"
  • "Is there a novelty premium on new financial instruments? the Argentine experience with GDP-indexed warrants"@en
  • "Is there a novelty premium on new financial instruments? the Argentine experience with GDP-indexed warrants"
  • "Is There a Novelty Premium on New Financial Instruments? the Argentine Experience with Gdp-Indexed Warrants"@en
  • "Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants"

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