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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2006.
|
| Colección: | IMF working paper ;
WP/06/195. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Papaioannou, Michael G., |e author. | |
| 245 | 1 | 2 | |a A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager / |c [prepared by] Michael Papaioannou. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2006. | ||
| 300 | |a 1 online resource (47 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/195 | |
| 504 | |a Includes bibliographical references (pages 45-47). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. MEASUREMENT OF MARKET RISK -- III. MEASUREMENT OF CREDIT RISK -- IV. MEASUREMENT OF LIQUIDITY RISK -- V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS -- VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO WITH N RISK FACTORS -- VII. EPILOGUE -- YIELD DEFINITIONS -- THE VALUE-AT-RISK (VAR) METHODOLOGY -- REFERENCES | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 0 | |a Interest rates |x Econometric models. | |
| 650 | 0 | |a Credit |x Econometric models. | |
| 650 | 0 | |a Liquidity (Economics) |x Econometric models. | |
| 650 | 0 | |a Government securities |x Econometric models. | |
| 650 | 0 | |a Debts, Public |x Econometric models. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 6 | |a Taux d'intérêt |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Modèles économétriques. | |
| 650 | 6 | |a Liquidité (Économie politique) |x Modèles économétriques. | |
| 650 | 6 | |a Effets publics |x Modèles économétriques. | |
| 650 | 6 | |a Dettes publiques |x Modèles économétriques. | |
| 650 | 7 | |a Credit |x Econometric models |2 fast | |
| 650 | 7 | |a Debts, Public |x Econometric models |2 fast | |
| 650 | 7 | |a Government securities |x Econometric models |2 fast | |
| 650 | 7 | |a Interest rates |x Econometric models |2 fast | |
| 650 | 7 | |a Liquidity (Economics) |x Econometric models |2 fast | |
| 650 | 7 | |a Risk |x Econometric models |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. | |
| 776 | 0 | 8 | |i Print version: |a Papaioannou, Michael G. |t Primer for risk measurement of bonded debt from the perspective of a sovereign debt manager. |d [Washington, D.C.] : International Monetary Fund, ©2006 |w (OCoLC)164628746 |
| 830 | 0 | |a IMF working paper ; |v WP/06/195. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014311 |z Texto completo |
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