Public Debt Sustainability and Management in a Compound Option Framework

WP/10/2

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 better suited for analyzing and evaluating the READ MORE...

Publication date: January 2010
ISBN 9781451961676
$18.00

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Publication date: January 2010

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Publication date: January 2010

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