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Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement

Author

Listed:
  • DANIEL, L.
  • MANAS, A.

Abstract

En 2005 et au début 2006, plus de 50 milliards de dollars de créances ont été remboursés par anticipation par les débiteurs du Club de Paris. Modéliser ces rachats comme l’exercice d’options financières permet d’étudier l’intérêt et le coût de ce type d’opération.

Suggested Citation

  • Daniel, L. & Manas, A., 2006. "Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement," Bulletin de la Banque de France, Banque de France, issue 152, pages 45-56.
  • Handle: RePEc:bfr:bullbf:2006:152:03
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/bulletin-de-la-banque-de-france_152_2006-08.pdf
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    Cited by:

    1. Daniel, L., 2008. "Foreign investors’ participation in emerging market economies’ domestic bond markets," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 12, pages 61-77, Summer.

    More about this item

    Keywords

    Vasicek; option; option d’achat (call) européenne Club de Paris; remboursement par anticipation.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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