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Scenario-generation methods for an optimal public debt strategy

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Author Info

  • Massimo Bernaschi
  • Maya Briani
  • Marco Papi
  • Davide Vergni
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    Abstract

    We describe the methods employed for the generation of possible scenarios for term structure evolution. The problem originated as a request from the Italian Ministry of Economy and Finance to find an optimal strategy for the issuance of Public Debt securities. The basic idea is to split the evolution of each rate into two parts. The first component is driven by the evolution of the official rate (the European Central Bank official rate in the present case). The second component of each rate is represented by the fluctuations having null correlation with the ECB rate.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/14697680601038167
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 7 (2007)
    Issue (Month): 2 ()
    Pages: 217-229

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    Handle: RePEc:taf:quantf:v:7:y:2007:i:2:p:217-229

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    Related research

    Keywords: Public debt strategy; Scenario-generation methods;

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    Cited by:
    1. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
    2. Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
    3. Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
    4. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.

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