Autori
Barone, EmilioOlivieri, GennaroTitolo
Derivates and usury: The role of options in transcations used to act in fraud of the lawPeriodico
Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanzaAnno:
2015 - Volume:
16 - Pagina iniziale:
13 - Pagina finale:
26The search for derivative contracts with complex features can also be
explained as the market’s attempt to elude the restrictions imposed by the law
on money loans. This is an undesirable effect of anti-usury rules. It can be added
to the one mentioned by Montesquieu and Adam Smith, who pointed out that
usury increases with the severity of the prohibition, since the lender indemnifies
himself for the risk he runs of suffering the penalty. In this paper we look at some
of the ways in which derivative contracts can be used to circumvent anti-usury
provisions and conceal money loans made at exorbitant rates. After examining
the simplest cases, we will consider more complex contracts, such as swaps with
embedded options, which are often used in dealings between banks and municipalities.
Our thesis is that, in all these cases, in order to detect usury, we have
to calculate the contracts’ option-adjusted yields.
SICI: 2385-0825(2015)16<13:DAUTRO>2.0.ZU;2-I
Testo completo:
https://web.uniroma1.it/memotef/sites/default/files/EmilioBarone_GennaroOlivieri_13-26_2015.pdfEsportazione dati in Refworks (solo per utenti abilitati)
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