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010   $a9786613821300
010   $a9781462312467
010   $a1462312462
010   $a9781452719870
010   $a145271987X
010   $a9781282448117
010   $a1282448110
010   $a9781451991970
010   $a1451991975
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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(IMF)WPIEA2006195
035   $aWPIEA2006195
035   $a(EXLCZ)993360000000443169
100   $a20020129d2006      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 /$fMichael Papaioannou
205   $a1st ed.
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (49 p.)
225 1 $aIMF Working Papers
300   $a"August 2006."
311 08$a9781451864557 
311 08$a1451864558 
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 Papers; Working Paper ;$vNo. 2006/195
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
606   $aBanks and Banking$2imf
606   $aBonds$2imf
606   $aCapital and Ownership Structure$2imf
606   $aCredit risk$2imf
606   $aExchange rate risk$2imf
606   $aFinancial Risk and Risk Management$2imf
606   $aFinancial risk management$2imf
606   $aFinancial services law & regulation$2imf
606   $aFinancing Policy$2imf
606   $aGeneral Financial Markets: General (includes Measurement and Data)$2imf
606   $aGoodwill$2imf
606   $aInvestment & securities$2imf
606   $aInvestments: Bonds$2imf
606   $aLiquidity risk$2imf
606   $aMarket risk$2imf
606   $aValue of Firms$2imf
607   $aUnited States$2imf
615  0$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$xEconometric models.
615  7$aBanks and Banking
615  7$aBonds
615  7$aCapital and Ownership Structure
615  7$aCredit risk
615  7$aExchange rate risk
615  7$aFinancial Risk and Risk Management
615  7$aFinancial risk management
615  7$aFinancial services law & regulation
615  7$aFinancing Policy
615  7$aGeneral Financial Markets: General (includes Measurement and Data)
615  7$aGoodwill
615  7$aInvestment & securities
615  7$aInvestments: Bonds
615  7$aLiquidity risk
615  7$aMarket risk
615  7$aValue of Firms
700   $aPapaioannou$b Michael$01814293
712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept.
801  0$bDcWaIMF
906   $aBOOK
912   $a9910969923403321
996   $aA Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager$94372852
997   $aUNINA