Unit:
Κατεύθυνση Στρατηγική Διοίκηση ΕπιχειρήσεωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Supervisors info:
Μπουφούνου Παρασκευή , Επίκουρη Καθηγήτρια, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Original Title:
Ομολογα με ρήτρα ανάπτυξης
Translated title:
Bonds with a development clause
Summary:
We develop and present a simplified model, an alternative to conventional pricing, for GDP-linked bonds. The main philosophy of this model is to match these specialized debt products with regular fixed income securities. This process makes them more understandable and attractive to market participants. The key feature of GDP-linked bonds is that their interest payments are related to the economic growth of the issuers. As a result, the design and matching of these tools require macroeconomic modeling of key parameters of economic development, such as the output gap of the issuing country. This is done in the present diplomacy for the case of Greece while in addition a general methodology for matching debt instruments based on indicators is presented which is carried out through Monte-Carlo simulations. The model can also be applied to other countries, provided that the data should be adapted. Finally, pricing such derivatives to incorporate credit default is a complex issue.
Main subject category:
Social, Political and Economic sciences
Keywords:
Financials, bonds, derivatives
