Public debt sustainability and management in a compound option framework:
This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on total government assets. Hence, the ALM compound option model is better suited...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Washington, DC
International Monetary Fund
c2010
|
| Series: | IMF working papers
[20)10,2 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies |
| Item Description: | At head of title: Western Hemisphere and Monetary and Capital Markets Departments. - "January 2010." Includes bibliographical references (p. 27-29) |
| Physical Description: | 1 online resource (29 p.) |
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| 520 | |a This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies | ||
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| spelling | Chan-Lau, Jorge A. Verfasser aut Public debt sustainability and management in a compound option framework Jorge A. Chan-Lau ; André O. Santos Washington, DC International Monetary Fund c2010 1 online resource (29 p.) txt rdacontent n rdamedia nc rdacarrier IMF working papers [20)10,2 At head of title: Western Hemisphere and Monetary and Capital Markets Departments. - "January 2010." Includes bibliographical references (p. 27-29) This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies Debts, Public / Australia / Econometric models Debts, External / Australia / Econometric models Asset-liability management Ökonometrisches Modell Australien Santos, André Oliveira Verfasser (DE-588)1012197131 aut Internationaler Währungsfonds Western Hemisphere Department Sonstige (DE-588)10359917-4 oth Internationaler Währungsfonds Monetary and Capital Markets Department Sonstige (DE-588)10161765-3 oth IMF working papers [20)10,2 (DE-604)BV019450314 20 http://www.imf.org/external/pubs/ft/wp/2010/wp1002.pdf kostenfrei Volltext |
| spellingShingle | Chan-Lau, Jorge A. Santos, André Oliveira Public debt sustainability and management in a compound option framework IMF working papers Debts, Public / Australia / Econometric models Debts, External / Australia / Econometric models Asset-liability management Ökonometrisches Modell |
| title | Public debt sustainability and management in a compound option framework |
| title_auth | Public debt sustainability and management in a compound option framework |
| title_exact_search | Public debt sustainability and management in a compound option framework |
| title_full | Public debt sustainability and management in a compound option framework Jorge A. Chan-Lau ; André O. Santos |
| title_fullStr | Public debt sustainability and management in a compound option framework Jorge A. Chan-Lau ; André O. Santos |
| title_full_unstemmed | Public debt sustainability and management in a compound option framework Jorge A. Chan-Lau ; André O. Santos |
| title_short | Public debt sustainability and management in a compound option framework |
| title_sort | public debt sustainability and management in a compound option framework |
| topic | Debts, Public / Australia / Econometric models Debts, External / Australia / Econometric models Asset-liability management Ökonometrisches Modell |
| topic_facet | Debts, Public / Australia / Econometric models Debts, External / Australia / Econometric models Asset-liability management Ökonometrisches Modell Australien |
| url | http://www.imf.org/external/pubs/ft/wp/2010/wp1002.pdf |
| volume_link | (DE-604)BV019450314 |
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