Sovereign Risk and Asset and Liability Management [electronic resource] : Conceptual Issues, Das, Udaibir S..

Das, Udaibir S.
Washington, D.C. : International Monetary Fund, 2012.
IMF eLibrary
IMF Working Papers; Working Paper No. 12/241.
IMF Working Papers; Working Paper No. 12/241
Government document
1 online resource (44 p.)
Local subjects:
Amount of debt.
Asset management.
Asset Pricing.
Balance of payments.
Central bank.
Central banks.
Contingent Pricing.
Currency composition.
Currency composition of debt.
Currency debt.
Currency mismatches.
Currency risk.
Current account.
Current account balance.
Debt management office.
Debt management strategy.
Debt manager.
Debt managers.
Debt obligations.
Debt portfolio.
Debt portfolios.
Debt problems.
Debt refinancing.
Debt rescheduling.
Debt service.
Debt servicing.
Debt stock.
Debt strategies.
Debt strategy.
Debt structure.
Domestic absorption.
Domestic currency.
Domestic debt.
External debt.
External debt service.
External short-term debt.
Financial risk.
Foreign currency debt.
Futures Pricing.
Government debt.
Government Policy and Regulation.
International Finance.
International Financial Markets.
International lending.
International Lending and Debt Problems.
Liquid reserves.
Liquidity crisis.
Local-currency debt.
Long-term debt.
Portfolio Choice.
Private debt.
Public debt.
Ratio of debt.
Reserve assets.
Reserve portfolio.
Risk management.
Short-term debt.
Sovereign debt.
New Zealand.
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operational instrument in formulating asset management and debtor liability management strategies at the sovereign level. From a portfolio perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial characteristics of the balance sheet, identifying sources of costs and risks, and quantifying the correlations among these sources of risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for further policy and analytical work on this topic.
Description based on print version record.
Das, Udaibir S.
Lu, Yinqiu.
Papaioannou, Michael.
Petrova, Iva.
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