Public debt sustainability and management in a compound option framework /

Public debt sustainability and management in a compound option framework /

Saved in:
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
Table of Contents:
  • I. Sound Public Debt Management: From Policy to Practical Implementation; II. The ALM Compound Option Model: Incorporating Insights from Macro- and Option-based Models; A. Advantages Over One-Period Option-Based Models; B. Advantages Over Macro-Based Models; III. The Government Balance Sheet and Net Worth; Tables; 1. Public Sector Balance Sheet; IV. The ALM Compound Option Model; A. Model Intuition; B. The ALM Compound Option Model: The Two-Period Case; C. Solving the ALM Compound Option Model; 2. Greeks for Compound Options.
  • D. The Role of Fiscal Policy and Asset and Liability ManagementV. Application to Australia's Government Debt and Unfunded Superannuation Liabilities; 3. Australia: Commonwealth Balance Sheet, June 2008; Figures; 1. Australia: Commonwealth Debt Service and Superannuation Benefits, End-June 2009; 4. Australia: LSCM Simulation Results, June 2008; 2. Australia: Commonwealth Probabilities of Default, End-June 2008; VI. Conclusion; References.

Similar Items