Public debt sustainability and management in a compound option framework /

Public debt sustainability and management in a compound option framework /

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Bibliographic Details
Author / Creator:	Chan-Lau, Jorge A., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2010.
Description:	1 online resource (29 pages) : color illustrations.
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/10/2 IMF working paper ; WP/10/2.
Subject:	Debts, Public -- Australia -- Econometric models. Debts, External -- Australia -- Econometric models. Asset-liability management. Asset-liability management. Debts, External -- Econometric models. Debts, Public -- Econometric models. Australia. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498993

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.
ISBN:	1283569701 9781283569705 1451918518 9781451918519 9781451961676 1451961677 1462361803 9781462361809 1452796467 9781452796468 9786613882158 6613882151
ISSN:	2227-8885
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.
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.
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
Standard no.:	10.5089/9781451918519.001

Description
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 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.
Physical Description:	1 online resource (29 pages) : color illustrations.
Format:	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.
Bibliography:	Includes bibliographical references (pages 27-29).
ISBN:	1283569701 9781283569705 1451918518 9781451918519 9781451961676 1451961677 1462361803 9781462361809 1452796467 9781452796468 9786613882158 6613882151
ISSN:	2227-8885 2227-8885 ;