2 edition of primer for risk measurement of bonded debt from the perspective of a sovereign debt manager found in the catalog.
primer for risk measurement of bonded debt from the perspective of a sovereign debt manager
Michael G. Papaioannou
by International Monetary Fund, Monetary and Capital Markets in [Washington, D.C.]
Written in English
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.
|Statement||prepared by Michael Papaioannou.|
|Series||IMF working paper -- WP/06/195|
|Contributions||International Monetary Fund. Monetary and Capital Markets Dept.|
|The Physical Object|
|Pagination||47 p. ;|
|Number of Pages||47|
Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings (Lecture Notes in Economics and Mathematical Systems) [Andritzky, Jochen] on *FREE* shipping on qualifying offers. Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings (Lecture Notes in Economics and Mathematical Systems)Cited by: largely ignored in the sovereign default literature originated in the seminal work of Eaton and Gersovitz ().2 To endogenize the liquidity of bonds, I integrate search frictions in the secondary market into a general equilibrium model of sovereign debt with default Size: KB.
Managing Sovereign Credit Risk in Bond Portfolios Generally, country risk encompasses three types of risk covering ﬁnancial economic crises (e.g. the subprime crisis), external debt defaults (e.g. the Russian default) and. Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hardBrand: Springer-Verlag Berlin Heidelberg.
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A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager Prepared by Michael Papaioannou1 Authorized for distribution by Carlos Medeiros August Abstract This Working Paper should not be reported as representing the views of the IMF.
Michael G. Papaioannou, "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/, International Monetary Fund. Handle: RePEc:imf:imfwpa/ A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager Article (PDF Available) October with Reads How we measure 'reads'.
Get this from a library. A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager. [Michael G Papaioannou; International Monetary Fund. Monetary and Capital Markets Department.] -- 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. A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager.
Author/Editor: Michael G. Papaioannou. Publication Date: August 1, Electronic Access: Free by: 6. In book: Quantitative Finance for Physicists, pp A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager. These measures are analyzed from the.
In effect, a sovereign debt that was once free of credit risk is now increasingly at risk. The recent haircut on Greek debt proves this point, and will in fact exacerbate this situation. The haircut has proven that Greek debt is not risk free and that default, if only partial, is a real possibility.
Risk management in the face of risky sovereign debt: four observations Thomas C Wilson1 First, let me thank the conference organisers for the opportunity to present my own thoughts and listen to the very interesting contributions and debates so far.
Before continuing with my own observations, however, let me preface my comments with. Sovereign debt is one of the oldest investment asset classes in the world. National governments have been issuing bonds for centuries, so the.
Michael G. Papaioannou, "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/, International Monetary Fund. Krugman, Paul, "Financing vs. forgiving a debt overhang," Journal of Development Economics, Elsevier, vol.
29(3), pagesNovember. Abstract. The restructuring of sovereign bonded debt constitutes a phenomenon both old and new. It is old in that, when bonded loans were the major source of sovereign borrowing, defaults and restructurings were frequent events and new in that the return of this type of debt as a source of sovereign financing has again been characterised by defaults and restructurings.
A monster debt that has any risk of default is uglier than a smaller debt with a higher likelihood of default.
Most countries in the European Union exceeded the self-imposed threshold debt limit. Ininvestors worried about a debt default in Greece. Measuring the default risk of sovereign debt from the perspective of network Hongwei Chuanga, Hwai-Chung Hoa,b aInstitute of Statistical Science, Academia Sinica, Taiwan bDepartment of Finance, National Taiwan University, Taiwan Abstract Recently, there has been a growing interest in network research, especially.
A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager (EPub), Mr. Michael G. Papaioannou, Aug 1,Business & Economics, 16 pages. 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 debt management and fiscal vulnerabilities Alessandro Missale1 Abstract A wide consensus has emerged on the role of debt management in reducing fiscal vulnerability by providing insurance against macroeconomic shocks to the government budget.
Whether this goal is better accomplished by nominal or inflation-indexed debt, by aCited by: Highlights We develop a systemic risk index to measure the default risk of sovereign debt. We construct a network model according to the debt–credit correlations.
The index can determine the status of interconnectivity and point out the degree of the sovereign debt default risk. Our approach provides another way on the investigation of quantifying the systemic by: 5.
This primer presents an overview of the management of sovereign debt portfolio risks and debt managers’ use of LMOs to address them. It discusses techniques used by debt managers to manage sovereign debt portfolio risk and achieve their sovereign risk management objective of minimizing cost according to an acceptable level of risk.
A Risk Quantification Model for Public Debt Management Most of these countries approach the measurement of risk by simulating debt servicing cash flows and examining the potential impact of these traditional ALM framework to the analysis of risk of sovereign debt is more Size: KB.
"A Primer on Managing Sovereign Debt-Portfolio Risks" published on by INTERNATIONAL MONETARY FUND. Sovereign debt can be broken down into two broad categories. Bonds issued by large, developed economies (such as Germany, Switzerland or.
A public debt management perspective on proposals for restrictions on short selling of sovereign debt, February New restrictions on the short selling of sovereign debt have been proposed in response to major threats to financial market stability and market confidence.Risk analysis in theory and practice [electronic resource] / Jean-Paul Chavas.
Main author: Chavas, Jean-Paul. Corporate Author: Ebook Central Academic Complete., ProQuest (Firm) Format: eBook Online access: Connect to electronic book via Ebook Central.Risk management optimization for sovereign debt restructuring Andrea Consiglio Stavros A.
Zenios y August Revised MarchDecember Working Paper The Wharton Financial Institutions Center The Wharton School, University of Pennsylvania, PA Journal of Globalization and Development, 6(2), Feb. Cited by: 8.