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010   $a1-4623-1246-2
010   $a1-4527-1987-X
010   $a1-282-44811-0
010   $a9786613821300
010   $a1-4519-9197-5
035   $a(CKB)3360000000443169
035   $a(EBL)3014311
035   $a(SSID)ssj0000940024
035   $a(PQKBManifestationID)11596391
035   $a(PQKBTitleCode)TC0000940024
035   $a(PQKBWorkID)10948456
035   $a(PQKB)10995982
035   $a(OCoLC)698585482
035   $a(MiAaPQ)EBC3014311
035   $a(IMF)WPIEE2006195
035   $a(EXLCZ)993360000000443169
100   $a20070815d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 12$aA primer for risk measurement of bonded debt from the perspective of a sovereign debt manager /$f[prepared by] Michael Papaioannou
205   $a1st ed.
210   $a[Washington, D.C.] $cInternational Monetary Fund$dc2006
215   $a1 online resource (49 p.)
225 1 $aIMF working paper ;$vWP/06/195
300   $a"August 2006."
311   $a1-4518-6455-8 
320   $aIncludes bibliographical references (p. 45-47).
327   $a""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""
330 3 $aThis paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the prominent measure of exchange rate exposure; the balance sheet approach (or contingent claims approach), and its consequent probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a portfolio's interest rate and exchange rate risk using the VaR methodology. The integrated approach is then extended to also include N risk factors. This approach allows us to measure the total risk of a portfolio, provided that the volatilities and correlations among the risk factors can be estimated.
410  0$aIMF working paper ;$vWP/06/195.
606   $aRisk$xEconometric models
606   $aInterest rates$xEconometric models
606   $aCredit$xEconometric models
606   $aLiquidity (Economics)$xEconometric models
606   $aGovernment securities$xEconometric models
606   $aDebts, Public$xEconometric models
615  0$aRisk$xEconometric models.
615  0$aInterest rates$xEconometric models.
615  0$aCredit$xEconometric models.
615  0$aLiquidity (Economics)$xEconometric models.
615  0$aGovernment securities$xEconometric models.
615  0$aDebts, Public$xEconometric models.
700   $aPapaioannou$b Michael G$01757331
712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910821268903321
996   $aA primer for risk measurement of bonded debt from the perspective of a sovereign debt manager$94195162
997   $aUNINA