Empirische Finanzmarktforschung/Empirical Finance

Introduction of a New Conceptual Framework for Government Debt Management

With a Special Emphasis on Modeling the Term Structure Dynamics

Authors: Hubig, Anja

  • ​Publication in the field of economic science

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eBook $69.99
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  • ISBN 978-3-658-00918-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-00917-5
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About this book

​Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.

About the authors

Dr. Anja Hubig has prepared her dissertation under the supervision of Prof. Richard Stehle, Ph.D. at the Institute for Banking and Asset Markets, Humboldt University of Berlin in parallel to her prior work at Bundesrepublik Deutschland-Finanzagentur GmbH. Since July 2012, as a director, she is in charge of the Treasury Division at Ostsächsische Sparkasse Dresden.

 

Table of contents (6 chapters)

  • Introduction

    Hubig, Anja

    Pages 1-19

  • Is the standard micro portfolio approach to sovereign debt management still appropriate? A critical analysis of the underlying analytical framework

    Hubig, Anja

    Pages 21-42

  • From corporate to public finance: A new application of the capital budgeting approach to sovereign debt management

    Hubig, Anja

    Pages 43-71

  • Use of orthogonal polynomials to describe the shape and dynamics of the term structure of interest rates for the purpose of government debt management

    Hubig, Anja

    Pages 73-111

  • Stochastic modeling of the term structure dynamics for the purpose of long-term government debt management: The theoretical framework

    Hubig, Anja

    Pages 113-151

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-00918-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-00917-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction of a New Conceptual Framework for Government Debt Management
Book Subtitle
With a Special Emphasis on Modeling the Term Structure Dynamics
Authors
Series Title
Empirische Finanzmarktforschung/Empirical Finance
Copyright
2013
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-00918-2
DOI
10.1007/978-3-658-00918-2
Softcover ISBN
978-3-658-00917-5
Edition Number
1
Number of Pages
XXIV, 213
Number of Illustrations and Tables
45 b/w illustrations
Topics