Hidden Bibliographic Details
| Other authors / contributors: | Santos, André, author.
International Monetary Fund. Western Hemisphere Department, issuing body.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN: | 1283569701
9781283569705
1451918518
9781451918519
9781451961676
1451961677
1462361803
9781462361809
1452796467
9781452796468
9786613882158
6613882151
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| ISSN: | 2227-8885
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| Notes: | Includes bibliographical references (pages 27-29).
Restrictions unspecified
Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011.
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. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
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| 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.
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| Other form: | Print version: Chan-Lau, Jorge A. Public debt sustainability and management in a compound option framework. [Washington, D.C.] : International Monetary Fund, ©2010
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| Standard no.: | 10.5089/9781451918519.001
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