Scenario-Generation Methods for an Optimal Public Debt Strategy (Articolo in rivista)

Type
Label
  • Scenario-Generation Methods for an Optimal Public Debt Strategy (Articolo in rivista) (literal)
Anno
  • 2007-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1080/14697680601038167 (literal)
Alternative label
  • Bernaschi M., Briani M., Papi M., Vergni D. (2007)
    Scenario-Generation Methods for an Optimal Public Debt Strategy
    in Quantitative finance (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Bernaschi M., Briani M., Papi M., Vergni D. (literal)
Pagina inizio
  • 217 (literal)
Pagina fine
  • 229 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 7 (literal)
Rivista
Note
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • Inst Applicaz Calcolo Mauro Picone, CNR, I-00161 Rome, Italy (literal)
Titolo
  • Scenario-Generation Methods for an Optimal Public Debt Strategy (literal)
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. (literal)
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