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 of capturing 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.
· The Standard Micro Portfolio Approach to Sovereign Debt Management
· New Application of the Capital Budgeting Approach to Sovereign Debt Management
· Joint Modeling of Yield Curve Shape and Dynamics
· Empirical Validation of Stochastic Term Structure Simulations
Target Groups· Researchers and students in the field of finance
· Practitioners in finance with a focus on fixed income portfolio and risk management, as well as experts in governmental institutions dealing with public debt management
About the Author
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.
About the Editors
The series Empirische Finanzmarktforschung is edited by Prof. Dr. Jan Pieter Krahnen and Prof. Richard Stehle, Ph.D.
- DOI https://doi.org/10.1007/978-3-658-00918-2
- Copyright Information Springer Fachmedien Wiesbaden 2013
- Publisher Name Springer Gabler, Wiesbaden
- eBook Packages Business and Economics
- Print ISBN 978-3-658-00917-5
- Online ISBN 978-3-658-00918-2
- About this book