05190oam 22010574 450 991078852470332120230829002126.01-4623-1246-21-4527-1987-X1-282-44811-097866138213001-4519-9197-5(CKB)3360000000443169(EBL)3014311(SSID)ssj0000940024(PQKBManifestationID)11596391(PQKBTitleCode)TC0000940024(PQKBWorkID)10948456(PQKB)10995982(OCoLC)698585482(MiAaPQ)EBC3014311(IMF)WPIEE2006195(EXLCZ)99336000000044316920020129d2006 uf 0engur|n|---|||||txtccrA Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager /Michael PapaioannouWashington, D.C. :International Monetary Fund,2006.1 online resource (49 p.)IMF Working Papers"August 2006."1-4518-6455-8 Includes bibliographical references (p. 45-47).""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""This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the prominent measure of exchange rate exposure; the balance sheet approach (or contingent claims approach), and its consequent probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a portfolio's interest rate and exchange rate risk using the VaR methodology. The integrated approach is then extended to also include N risk factors. This approach allows us to measure the total risk of a portfolio, provided that the volatilities and correlations among the risk factors can be estimated.IMF Working Papers; Working Paper ;No. 2006/195RiskEconometric modelsInterest ratesEconometric modelsCreditEconometric modelsLiquidity (Economics)Econometric modelsGovernment securitiesEconometric modelsDebts, PublicEconometric modelsBanks and BankingimfInvestments: BondsimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancial services law & regulationimfInvestment & securitiesimfBondsimfCredit riskimfLiquidity riskimfMarket riskimfExchange rate riskimfFinancial risk managementimfUnited StatesimfRiskEconometric models.Interest ratesEconometric models.CreditEconometric models.Liquidity (Economics)Econometric models.Government securitiesEconometric models.Debts, PublicEconometric models.Banks and BankingInvestments: BondsFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillGeneral Financial Markets: General (includes Measurement and Data)Financial services law & regulationInvestment & securitiesBondsCredit riskLiquidity riskMarket riskExchange rate riskFinancial risk managementPapaioannou Michael1462126International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910788524703321A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager3670968UNINA