Texto para discussão n. 18: sovereign debt risk modeling and portfolio management
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Publisher
Secretaria do Tesouro Nacional (STN)
Language
Country
País::BR:Brasil
Type
Texto para Discussão
Physical description
44 páginas
Date
Rights holder
Secretaria do Tesouro Nacional (STN)
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Abstract
This paper presents a compilation of interesting models to treat sovereign debt portfolio
applied to debt management offices. It starts with an analytical balance sheet and net
worth optimization and evolves onto policy decisions based on deterministic and
stochastic debt simulation models. Important risk measures derived from Value-at-Risk
variations are drawn from these, which enables debt managers to prospect the results of
a given funding strategy. Finally, further analysis on the asset side are introduced in
light of the shape and size of government liabilities to verify if policy decisions change
in such circumstances. The conclusion is that while balance sheet and net worth
optimization are more affine to optimal taxation theory, debt service simulation models
are more appealing to most practioneers.
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Termo::Autorização: O autor da obra autorizou a Escola Nacional de Administração Pública (ENAP) a disponibilizá-la, em Acesso Aberto, no portal da ENAP, na Biblioteca Graciliano Ramos e no Repositório Institucional da ENAP. Atenção: essa autorização é válida apenas para a obra em seu formato original.
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