By Organisation for Economic Co-Operation a

ISBN-10: 9264104410

ISBN-13: 9789264104419

ISBN-10: 9264104437

ISBN-13: 9789264104433

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ANALYTICAL FRAMEWORK FOR DEBT AND RISK MANAGEMENT not available/marketable at all. 15 In less developed markets it may be necessary to issue short-term debt indexed to foreign currency to attract investors and borrow at reasonable rates. Secondly, it is not a straightforward exercise to assess the future correlation between the budget balance and debt-service cost of different financial instruments. The correlation structure based on historical observations may be unstable, and it is uncertain whether it will prevail in the future.

In addition, the results of the model depend on assumptions about the future development in, for example, interest rates and budget balance. A methodological advantage of the use of structural models that it is possible to keep track of the different assumptions and to assess their implications. In addition to calculating potential costs, simulation models are useful in ensuring consistency of the government debt strategy over different time horizons. The simulations provide valuable insight into the dynamics of the government debt portfolio and the implications of alternative government debt strategies.

Most countries impose market risk limits on treasury activities, although a not insignificant number do not. g. duration targets or limits). g. a currency target, most commonly). Other countries look to VaR or cost-at-risk, sometimes with a view to their sensitivity relative to yield curve shifts. Most countries employ some form of derivatives for risk management purposes, with swaps serving as the most common derivative type. A solid majority of the countries which manage market risk use swaps.

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Advances in Risk Management of Government Debt by Organisation for Economic Co-Operation a


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