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IMF Working Papers
Public Debt Sustainability and Management in a Compound Option Framework :
2010
INTERNATIONAL MONETARY FUND

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 risk profile of publ...

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IMF Working Papers
Public Debt Sustainability and Management in a Compound Option Framework :
2010
INTERNATIONAL MONETARY FUND

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 risk profile of publ...

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IMF Working Papers
Public Debt Sustainability and Management in a Compound Option Framework :
2010
INTERNATIONAL MONETARY FUND

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 risk profile of publ...

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