Introduction of a New Conceptual Framework for Government Debt Management
ISBN:
978-3-658-00917-5
Auflage:
2013
Verlag:
Springer Fachmedien Wiesbaden GmbH
Land des Verlags:
Deutschland
Erscheinungsdatum:
17.01.2013
Reihe:
Empirische Finanzmarktforschung/Empirical Finance
Format:
Softcover
Seitenanzahl:
213
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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.
Schlagwörter
Biografische Anmerkung
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.
