The Leading eBooks Store Online 4,363,412 members ⚫ 1,467,645 ebooks

New to eBooks.com?

Learn more

Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?

Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk? by Faezeh Raei
Buy this eBook
US$ 9.00
(If any tax is payable it will be calculated and shown at checkout.)
This paper assesses the impact of bonds issued according to Islamic principles (Sukuk), on the cost and risk structure of investment portfolios by using the Value-at-Risk (VaR) framework. The market for Sukuk has grown tremendously in recent years at about 45 percent a year. Sukuk provide sovereign governments and corporations with access to the huge and growing Islamic liquidity pool, in addition to the conventional investor base. The paper analyzes whether secondary market behavior of Eurobonds and Sukuk issued by the same issuer are significantly different to provide gains from diversification. The analysis, employing the delta-normal as well as Monte-Carlo simulation methods, implies such gains are present and in certain cases very significant.
International Monetary Fund; October 2007
20 pages; ISBN 9781452742038
Read online, or download in secure EPUB or secure PDF format
Title: Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?
Author: Faezeh Raei; Selim Cakir