A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager /
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...
| Main Authors: | , , |
|---|---|
| Corporate Author: | |
| Format: | Book |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Capital Markets,
2006
[Washington, D.C.] : International Monetary Fund, ©2006 Washington, D.C. : 2006 |
| Series: | IMF Working Papers ;
Working Paper No. 06/195 IMF Working Papers; Working Paper ; No. 2006/195 IMF eLibrary IMF working paper ; WP/06/195 |
| Subjects: |
Internet
This item is not available through BorrowDirect. Please contact your institution’s interlibrary loan office for further assistance.Massachusetts Institute of Technology
| Call Number: |
HG3810.I45 no.WP/06/195 |
|---|