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...
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| Формат: | Журнал |
| Язык: | English |
| Опубликовано: |
Washington, D.C. :
International Monetary Fund,
2006.
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| Серии: | IMF Working Papers; Working Paper ;
No. 2006/195 |
| Online-ссылка: | Full text available on IMF |