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...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2006.
|
| Sraith: | IMF Working Papers; Working Paper ;
No. 2006/195 |
| Rochtain ar líne: | Full text available on IMF |