Series: IMF Working Papers
Author(s): Zvi Wiener , and Dan Galai
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2009
Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign curr...