Public Debt Sustainability and Management in a Compound Option Framework /

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model is...

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Dettagli Bibliografici
Autore principale: Chan-Lau, Jorge
Altri autori: Santos, Andre
Natura: Periodico
Lingua:English
Pubblicazione: Washington, D.C. : International Monetary Fund, 2010.
Serie:IMF Working Papers; Working Paper ; No. 2010/002
Accesso online:Full text available on IMF

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