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A Primer on Managing Sovereign Debt-Portfolio Risks

2018-04-06 Business & Economics
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Release : 2018-04-06
Genre : Business & Economics
Kind : eBook
Book Rating : 545/5 ( reviews)

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Book Synopsis A Primer on Managing Sovereign Debt-Portfolio Risks by : Thordur Jonasson

Download or read book A Primer on Managing Sovereign Debt-Portfolio Risks written by Thordur Jonasson. This book was released on 2018-04-06. Available in PDF, EPUB and Kindle. Book excerpt: 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

2011-04-18 Business & Economics
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Release : 2011-04-18
Genre : Business & Economics
Kind : eBook
Book Rating : 941/5 ( reviews)

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Book Synopsis Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons by : International Monetary Fund

Download or read book Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons written by International Monetary Fund. This book was released on 2011-04-18. Available in PDF, EPUB and Kindle. Book excerpt: 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

2006-08 Business & Economics
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Release : 2006-08
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager by : Michael G. Papaioannou

Download or read book A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager written by Michael G. Papaioannou. This book was released on 2006-08. Available in PDF, EPUB and Kindle. Book excerpt: 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

2018-04-06 Business & Economics
Download A Primer on Managing Sovereign Debt-Portfolio Risks PDF Online Free

Author :
Release : 2018-04-06
Genre : Business & Economics
Kind : eBook
Book Rating : 819/5 ( reviews)

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Book Synopsis A Primer on Managing Sovereign Debt-Portfolio Risks by : Thordur Jonasson

Download or read book A Primer on Managing Sovereign Debt-Portfolio Risks written by Thordur Jonasson. This book was released on 2018-04-06. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

2014-09-12 Business & Economics
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Release : 2014-09-12
Genre : Business & Economics
Kind : eBook
Book Rating : 77X/5 ( reviews)

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Book Synopsis Optimal Maturity Structure of Sovereign Debt in Situation of Near Default by : Gabriel Desgranges

Download or read book Optimal Maturity Structure of Sovereign Debt in Situation of Near Default written by Gabriel Desgranges. This book was released on 2014-09-12. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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