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
Tabla de Contenidos:
  • 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

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