Introduction of a New Conceptual Framework for Government Debt Management

Name: Introduction of a New Conceptual Framework for Government Debt Management
Author: Anja Hubig

With a Special Emphasis on Modeling the Term Structure Dynamics

Paperback Engels 2013 2013e druk 9783658009175

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Samenvatting

Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.

Specificaties

ISBN13:9783658009175

Taal:Engels

Bindwijze:paperback

Aantal pagina's:213

Uitgever:Springer Fachmedien Wiesbaden

Druk:2013

Hoofdrubriek:Financieel management, Financieel management

Serie:Empirische Finanzmarktforschung/Empirical Finance

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Inhoudsopgave

Core assumptions underlying the micro portfolio approach to public debt management.- A public finance framework for long-term sovereign funding decisions.- Recommendations for broader debt management objectives.- A new approach to model the shape and dynamics of the term structure of interest rates.- Stochastic modeling of the term structure dynamics.- Empirical validation of term structure simulations.