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Scenario-generation methods for an optimal public debt strategy

Listed author(s):
  • Massimo Bernaschi
  • Maya Briani
  • Marco Papi
  • Davide Vergni
Registered author(s):

    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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    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
    DOI: 10.1080/14697680601038167
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