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Title page
Contents
Acknowledgements 4
Executive Summary 6
Chapter 1. Growth and Fiscal Challenges in the Region 10
Introduction 10
Bumps in the Road and the Role of External Factors 14
Fiscal Adjustment in LAC: A Progress Report 17
Chapter 2. Fundamentals of Risk 22
Introduction 22
How Risky is the Region? 22
Exposure and Vulnerability to External Risks: Moving beyond Volatility 25
A Primer on Risk 26
Risk versus Uncertainty or Known Unknowns versus Unknown Unknowns 27
On the Impossibility of Insuring against Unknown Unknowns 28
On Bell Curves and Fat Tails 30
When Type II Risks Dress up like Type I: Costly Cases of Mistaken Identity 37
How Vulnerable is the Region? 41
Vulnerability to q-Gaussian Shocks 41
Vulnerability to Power-Law Events 43
Chapter 3. Risk in Theory 48
Introduction 48
Hedging Risk with Financial Derivatives 49
Simple Textbook Approach to Option Valuation Theory 49
Using the Black-Scholes formulation to Price a Call Option 52
Weaknesses of the Black-Scholes Model 52
Insights on Option Pricing from a General Equilibrium Model 53
Insuring Against Natural Disasters 55
Valuation of a Cat Bond 56
Weaknesses of ad hoc Cat Bond Valuation 57
Beyond Insurance 58
Chapter 4. Risk Management in Practice 60
Introduction 60
Type I Risks 61
Type II Risks 63
Cat Bond issuance. 72
Black Swans 76
Opportunities and Challenges Ahead 77
References 78
Appendix A. Annual Growth for LAC Countries 84
Appendix B. Definition of Regions Used in Chapter 2 85
Appendix C. Two-Country, Closed-Economy Model 87
Appendix D. Pricing for Rare Events in a Two-Country Model 89
Table 1.1. Recent and Forecasted Real GDP Growth in LAC 10
Table 2.1. Volatility across Regions, 1960-2017 23
Table 2.2. Volatility across Sub-Regions of LAC, 1960-2017 24
Table 2.3. Black Swans in Practice 29
Table 2.4. Variance Decomposition 42
Table 2.5. Vulnerability to Sudden Stops 44
Table 2.6. Natural Disasters across Regions and Sub-Regions of LAC, 1960-2017 45
Table 2.7. Main Natural Disasters across Regions and Sub-Regions of LAC, 1960-2017 46
Table 4.1. Risk Management Tools: A Policy Menu 61
Table 4.2. DPOs with DDO Approved since 2008 69
Table 4.3. Pacific Alliance Catastrophe Bond 72
Table 4.4. Approved Cat DDOs since 2008 73
Table A.1. Annual Real GDP Growth Rates for LAC Countries 84
Figure 1.1. LAC: Real GDP Growth 12
Figure 1.2. Real GDP Growth: LAC, EMs(non-LAC excl. China) and Rest of the World 13
Figure 1.3. Real GDP Growth in LAC per Country, 2016-2018 14
Figure 1.4. External Factors Affecting LAC Growth 15
Figure 1.5. Role of External Factors in South America's Growth 16
Figure 1.6. Fiscal Deficits in LAC, 2018 17
Figure 1.7. Gross and Net Debt in LAC, 2017 18
Figure 1.8. Debt and Credit Ratings in LAC, 2017 19
Figure 1.9. Fiscal Deficits in Selected LAC Countries 20
Figure 2.1. Different Types of Risk 27
Figure 2.2. Poster Child of a Type I Event: Distribution of Human Height 31
Figure 2.3. Distribution of Rainfall in Uruguay 32
Figure 2.4. Poster Child of a Type II Event: Distribution of Total Income(Brazil, 2015) 33
Figure 2.5. Distribution of Magnitude of Earthquakes 35
Figure 2.6. Distribution of Intensity of Sudden Stops 36
Figure 2.7. When Type II Risks Dress up Like Type I 38
Figure 2.8. Power-Law Distributions 40
Figure 3.1. Price of an Option: A Binomial Approach 50
Figure 3.2. Call Option Price as Function of Strike Price 54
Figure 3.3. Price of Contingent Bond for Different Sizes of the Natural Disaster 58
Figure 4.1. Mexican Oil Hedge 64
Figure 4.2. Uruguayan Oil Hedge 65
Figure 4.3. Chile's Fondo de Estabilizacion Economico y Social 66
Figure 4.4. IMF Flexible Credit Lines for Colombia, Mexico, and Poland 68
Figure 4.5. International Reserves and Output Volatility 70
Figure 4.6. Cat Bond Structure 71
Figure 4.7. Risk Pools: CCRIF-CA 74
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