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.

Publication in the field of economic science Includes supplementary material: sn.pub/extras

Autorentext

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.

Inhalt
Core assumptions underlying the micro portfolio approach to public debt management.- A public finance framework for long-term sovereign funding decisions.- Recommendations for broader debt management objectives.- A new approach to model the shape and dynamics of the term structure of interest rates.- Stochastic modeling of the term structure dynamics.- Empirical validation of term structure simulations.