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Title: Texto para discussão n. 18: sovereign debt risk modeling and portfolio management
Keywords: dívida externa
gestão de riscos
balanço patrimonial
política econômica
debt simulation models
balance sheet
debt strategy
maturity structure
interest and currency risk
net worth
Issue Date: 2015
Publisher: Secretaria do Tesouro Nacional (STN)
Abstract: This paper presents a compilation of interesting models to treat sovereign debt portfolio applied to debt management offices. It starts with an analytical balance sheet and net worth optimization and evolves onto policy decisions based on deterministic and stochastic debt simulation models. Important risk measures derived from Value-at-Risk variations are drawn from these, which enables debt managers to prospect the results of a given funding strategy. Finally, further analysis on the asset side are introduced in light of the shape and size of government liabilities to verify if policy decisions change in such circumstances. The conclusion is that while balance sheet and net worth optimization are more affine to optimal taxation theory, debt service simulation models are more appealing to most practioneers.
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Appears in Collections:Textos para Discussão do Tesouro Nacional

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