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Record Nr. |
UNINA9910464586603321 |
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Autore |
Papaioannou Michael G |
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Titolo |
A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager [[electronic resource] /] / [prepared by] Michael Papaioannou |
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Pubbl/distr/stampa |
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[Washington, D.C.], : International Monetary Fund, c2006 |
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ISBN |
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1-4623-1246-2 |
1-4527-1987-X |
1-282-44811-0 |
9786613821300 |
1-4519-9197-5 |
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Descrizione fisica |
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1 online resource (49 p.) |
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Collana |
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IMF working paper ; ; WP/06/195 |
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Soggetti |
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Risk - Econometric models |
Interest rates - Econometric models |
Credit - Econometric models |
Liquidity (Economics) - Econometric models |
Government securities - Econometric models |
Debts, Public - Econometric models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references (p. 45-47). |
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Nota di contenuto |
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""Contents""; ""I. INTRODUCTION""; ""II. MEASUREMENT OF MARKET RISK""; ""III. MEASUREMENT OF CREDIT RISK""; ""IV. MEASUREMENT OF LIQUIDITY RISK""; ""V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS""; ""VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO WITH N RISK FACTORS""; ""VII. EPILOGUE""; ""YIELD DEFINITIONS""; ""THE VALUE-AT-RISK (VAR) METHODOLOGY""; ""REFERENCES"" |
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