تامین نقدینگی قیمت گذاری صندوق بین المللی پول: ارزش تعهد نقدینگی صندوق بین المللی پول

This paper presents a market-based framework for pricing the International Monetary Fund's commitment to provide liquidity assistance, accounting for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. The illustrative numerical examples show that the value of this liquidity guarantee could range between several and three hundreds basis points depending on the borrower's creditworthiness, the volatility of capital flows to the borrowing country, and the amount of funds potentially needed to meet the borrower's external obligations.