Introduction of a new conceptual framework for government debt management : with a special emphasis on modeling the term structure dynamics
Author(s)
Bibliographic Information
Introduction of a new conceptual framework for government debt management : with a special emphasis on modeling the term structure dynamics
（Research, . Empirische finanzmarktforschung = Empirical finance / herausgegeben von J. P. Krahnen,
Springer Gabler, c2013
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Note
Originally presented as the author's thesis (Ph. D.)--Humboldt University of Berlin, 2012
Includes bibliographical references (p. 195-213)
Description and Table of Contents
Description
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.
Table of Contents
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.
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