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  • 标题:Public Debt Sustainability and Management in a Compound Option Framework
  • 本地全文:下载
  • 作者:Chan-lau ; Jorge A. | Santos ; Andre
  • 期刊名称:International Monetary Fund Survey
  • 印刷版ISSN:0047-083X
  • 出版年度:2010
  • 期号:Jan
  • 出版社:International Monetary Fund
  • 摘要:

    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.

  • 关键词:Asset-liability management ; debt management ; default risk ; Australia
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