A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Papaioannou, Michael G. (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2006.
Colección:IMF working paper ; WP/06/195.
Temas:
Risk > Econometric models.
Interest rates > Econometric models.
Credit > Econometric models.
Liquidity (Economics) > Econometric models.
Government securities > Econometric models.
Debts, Public > Econometric models.
Risque > Modèles économétriques.
Taux d'intérêt > Modèles économétriques.
Crédit > Modèles économétriques.
Liquidité (Économie politique) > Modèles économétriques.
Effets publics > Modèles économétriques.
Dettes publiques > Modèles économétriques.
Credit > Econometric models
Debts, Public > Econometric models
Government securities > Econometric models
Interest rates > Econometric models
Liquidity (Economics) > Econometric models
Risk > Econometric models
Acceso en línea:Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource (47 pages)
Bibliografía:Includes bibliographical references (pages 45-47).
ISBN:1282448110
9781282448117
9781451991970
1451991975
1462312462
9781462312467
145271987X
9781452719870
9786613821300
6613821306
ISSN:2227-8885 ;

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