Predicting currency crises: the indicators approach and an alternative
Article Abstract:
A forecasting model suggested by G. Kaminsky et al (KLR) for predicting when currency crises will occur is evaluated and an alternative to the KLR model is proposed. The KLR approach is basically about the monitoring of numerous monthly indicators that could provide a warning that a crisis could materialize once the indicators reach a level. An alternative proposed is a probit-based alternative model, an approach in which a probit regression technique is augmented to the data and crisis indicators specified in the KLR approach. An analysis of the various predictive variables is also presented.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1999
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Valuation of LIBOR-Contingent FX options
Article Abstract:
Analytic solutions, which are based on assumptions involving initial domestic forward curves, foreign forward rates and the exchange rate, were derived for pricing several classes of LIBOR-Contingent FX option. The solutions showed that the sum of two LIBOR-Contingent FX call options is equal to a corresponding plain-vanilla FX call option. Such conclusion suggests that extant option pricing models may be produced by imposing restrictions on the parameters of the analytic solutions developed.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
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