A Primer On Managing Sovereign Debt Portfolio Risks
DOWNLOAD
Download A Primer On Managing Sovereign Debt Portfolio Risks PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get A Primer On Managing Sovereign Debt Portfolio Risks book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
A Primer On Managing Sovereign Debt Portfolio Risks
DOWNLOAD
Author : Thordur Jonasson
language : en
Publisher: International Monetary Fund
Release Date : 2018-04-06
A Primer On Managing Sovereign Debt Portfolio Risks written by Thordur Jonasson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-06 with Business & Economics categories.
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
A Primer For Risk Measurement Of Bonded Debt From The Perspective Of A Sovereign Debt Manager
DOWNLOAD
Author : Michael G. Papaioannou
language : en
Publisher: International Monetary Fund
Release Date : 2006-08
A Primer For Risk Measurement Of Bonded Debt From The Perspective Of A Sovereign Debt Manager written by Michael G. Papaioannou and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08 with Business & Economics categories.
This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the prominent measure of exchange rate exposure; the balance sheet approach (or contingent claims approach), and its consequent probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a portfolio's interest rate and exchange rate risk using the VaR methodology. The integrated approach is then extended to also include N risk factors. This approach allows us to measure the total risk of a portfolio, provided that the volatilities and correlations among the risk factors can be estimated.
Risk Management Of Sovereign Assets And Liabilities
DOWNLOAD
Author : Mr.D. F. I. Folkerts-Landau
language : en
Publisher: International Monetary Fund
Release Date : 1997-12-01
Risk Management Of Sovereign Assets And Liabilities written by Mr.D. F. I. Folkerts-Landau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-12-01 with Business & Economics categories.
In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential step in reducing emerging market vulnerability to such external shocks is to reform the institutional arrangements governing asset and liability management policies, so as to promote a transparent, publicly accountable, and professional incentive structure.
Guidelines For Public Debt Management Amended
DOWNLOAD
Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2003-09-12
Guidelines For Public Debt Management Amended written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-09-12 with Business & Economics categories.
NULL
Sovereign Assets And Liabilities Management
DOWNLOAD
Author : Mr.D. F. I. Folkerts-Landau
language : en
Publisher: International Monetary Fund
Release Date : 2000-07-05
Sovereign Assets And Liabilities Management written by Mr.D. F. I. Folkerts-Landau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-05 with Business & Economics categories.
This volume, edited by David Folkerts-Landau and Marcel Cassard, consists of papers presented at a conference held in Hong Kong SAR that was hosted by the IMF and the Hong Kong Monetary Authority. It focuses on a wide range of issues confronting policymakers in managing their sovereign assets and liabilities in a world of mobile capital and integrated capital markets. Topics include public debt management strategy, central bank reserves management, technical and quantitive aspects of risk management, and credit costs and borrowing capacity in optimizing debt management. The papers draw on experiences of policymakers and private sector participants actively involved in formulating and implementing debt and reserves policy.
Advances In Risk Management Of Government Debt
DOWNLOAD
Author : OECD
language : en
Publisher: OECD Publishing
Release Date : 2005-08-03
Advances In Risk Management Of Government Debt written by OECD and has been published by OECD Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-08-03 with categories.
This study on government debt brings together a number of reports on best practices for managing market risk, credit risk, operational risk and contingent liability risk. It was prepared by the OECD Working Party on Public Debt Management.
Managing Public Debt And Its Financial Stability Implications
DOWNLOAD
Author : Mr.Udaibir S. Das
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Managing Public Debt And Its Financial Stability Implications written by Mr.Udaibir S. Das and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-01 with Business & Economics categories.
This paper explores the relationship between the level and management of public debt and financial stability, and explains the channels through which the two are interlinked. It suggests that the broader implications of a debt management strategy and its implementation should be carefully analyzed by debt managers and policy makers in terms of their impact on the government's balance sheet, macroeconomic developments, and the financial system.
Sovereign Risk And Asset And Liability Management
DOWNLOAD
Author : Mr.Udaibir S Das
language : en
Publisher: International Monetary Fund
Release Date : 2012-10-04
Sovereign Risk And Asset And Liability Management written by Mr.Udaibir S Das and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-04 with Business & Economics categories.
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operational instrument in formulating asset management and debtor liability management strategies at the sovereign level. From a portfolio perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial characteristics of the balance sheet, identifying sources of costs and risks, and quantifying the correlations among these sources of risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for further policy and analytical work on this topic.
Optimal Maturity Structure Of Sovereign Debt In Situation Of Near Default
DOWNLOAD
Author : Gabriel Desgranges
language : en
Publisher: International Monetary Fund
Release Date : 2014-09-12
Optimal Maturity Structure Of Sovereign Debt In Situation Of Near Default written by Gabriel Desgranges and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-12 with Business & Economics categories.
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long term debt is followed by a sequence of negative macro shocks. Prior uncertainty about future fundamentals is then a source of default through its effect on long term interest rates and the optimal debt issuance. Intuitively, the Sovereign chooses a portfolio implying a risk of default because this risk generates a correlation between the future value of long term debt and future fundamentals. Long term debt serves as a hedging instrument against the risk on fundamentals. When expected fundamentals are high, the Sovereign issues a large amount of long term debt, the expected default probability increases, and so does the long term interest rate.
The Handbook Of Credit Risk Management
DOWNLOAD
Author : Sylvain Bouteille
language : en
Publisher: John Wiley & Sons
Release Date : 2021-12-29
The Handbook Of Credit Risk Management written by Sylvain Bouteille and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-29 with Business & Economics categories.
Discover an accessible and comprehensive overview of credit risk management In the newly revised Second Edition of The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, veteran financial risk experts Sylvain Bouteillé and Dr. Diane Coogan-Pushner deliver a holistic roadmap to credit risk management (CRM) ideal for students and the busy professional. The authors have created an accessible and practical CRM resource consistent with a commonly implemented risk management framework. Divided into four sections—Origination, Credit Assessment, Portfolio Management, and Mitigation and Transfer—the book explains why CRM is critical to the success of large institutions and why organizational structure matters. The Second Edition of The Handbook of Credit Risk Management also includes: Newly updated and enriched data, charts, and content Three brand new chapters on consumer finance, state and local credit risk, and sovereign risk New ancillary material designed to support higher education and bank credit training educators, including case studies, quizzes, and slides Perfect for risk managers, corporate treasurers, auditors, and credit risk underwriters, this latest edition of The Handbook of Credit Risk Management will also prove to be an invaluable addition to the libraries of financial analysts, regulators, portfolio managers, and actuaries seeking a comprehensive and up-to-date guide on credit risk management.