A Primer on Managing Sovereign Debt-Portfolio Risks - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Primer on Managing Sovereign Debt-Portfolio Risks write by Thordur Jonasson. This book was released on 2018-04-06. A Primer on Managing Sovereign Debt-Portfolio Risks available in PDF, EPUB and Kindle. 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.
Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons
Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons write by International Monetary Fund. This book was released on 2011-04-18. Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons available in PDF, EPUB and Kindle. The crisis highlighted the importance of debt management in containing debt-related risks and the associated impact on debt markets. The impact of the crisis on debt levels, and the consequent implications for fiscal consolidation, has been the subject of much discussion and analysis. However, there has been relatively less focus on the issue of how that debt should be managed, including how its composition should be structured so as to mitigate key risk exposures, and its implications for debt market functioning. That task proved significantly complex and challenging through the crisis, particularly in advanced economies, with additional dimensions of risk revealed.
A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager
A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager write by Michael G. Papaioannou. This book was released on 2006-08. A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager available in PDF, EPUB and Kindle. 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.
A Primer on Managing Sovereign Debt-Portfolio Risks
A Primer on Managing Sovereign Debt-Portfolio Risks - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Primer on Managing Sovereign Debt-Portfolio Risks write by Thordur Jonasson. This book was released on 2018-04-06. A Primer on Managing Sovereign Debt-Portfolio Risks available in PDF, EPUB and Kindle. 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.
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy write by Wenxin Du. This book was released on 2019. Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy available in PDF, EPUB and Kindle. We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy commitment. A government without commitment chooses excessively counter-cyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too expensive from the government's perspective and thereby discourages the government from borrowing in its own currency.
