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

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A primer for risk measurement of bonded debt ...
Michael G. Papaioannou
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August 17, 2022 | History

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

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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.

Publish Date
Language
English
Pages
47

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Edition Availability
Cover of: A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager
A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager
2006, International Monetary Fund, Monetary and Capital Markets
in English

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Book Details


Edition Notes

Caption title.

"August 2006."

Includes bibliographical references (p. 45-47).

Also available on the World Wide Web.

Published in
[Washington, D.C.]
Series
IMF working paper -- WP/06/195

Classifications

Library of Congress
HD61

The Physical Object

Pagination
47 p. ;
Number of pages
47

ID Numbers

Open Library
OL21611018M

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August 17, 2022 Edited by ImportBot import existing book
December 4, 2010 Edited by Open Library Bot Added subjects from MARC records.
February 13, 2010 Edited by WorkBot add more information to works
December 10, 2009 Created by WorkBot add works page