Introduction of a New Conceptual Framework for Government Debt Management

1. Front Matter

   Pages 1-1

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2. Introduction

   • Anja Hubig

   Pages 1-19

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

   • Anja Hubig

   Pages 21-42

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

   • Anja Hubig

   Pages 43-71

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

   • Anja Hubig

   Pages 73-111

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

   • Anja Hubig

   Pages 113-151

7. Joint modeling of yield curve shape and dynamics: An empirical validation of term structure simulations for long-term government debt management

   • Anja Hubig

   Pages 153-193

8. Back Matter

   Pages 8-8

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​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.

• Empirical validation of term structure simulations
• Recommendations
• Stochastic modeling of the term structure dynamics

• , Wirtschaftswissenschaftliche Fakultät, Humboldt-Universität Berlin, Berlin, Germany

  Anja Hubig

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.

 

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