Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Public debt management in Turkey with stochastic optimization approach
Download
index.pdf
Date
2005
Author
Çelebi, Nuray
Metadata
Show full item record
Item Usage Stats
251
views
90
downloads
Cite This
The Prime Ministry of Undersecretariat of Treasury maintaining the financial administration of Republic of Turkey has several tasks to handle one of which is to manage the government̕s debt in a way that minimizes the cost regarding risk. Choosing the right instrument and maturity composition that has the least cost and risk is the debt management problem to be dealt with and is affected by many stochastic factors. The objective of this thesis is the optimization of the debt management problem of the Turkish Government via a stochastic simulation framework under the constraints of changes in portfolio positions. Value-at-Risk of the optimal portfolio is calculated to measure market risk. Macroeconomic variables in the optimization problem are modeled with econometric models like autoregressive processes (AR), autoregressive integrated moving average processes (ARIMA) and generalized autoregressive conditionally heteroscedastic (GARCH) processes. The simulation horizon is 2005-2015. Debt portfolio is optimized at 2006 and 2015 where the representative scenarios for the optimization are found by clustering the previously generated 25,000 scenarios into 30 groups at each stage.
Subject Keywords
Finance.
URI
http://etd.lib.metu.edu.tr/upload/3/12607050/index.pdf
https://hdl.handle.net/11511/15741
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
Debt management and financialisation as facets of state restructuring: the case of turkey in the post-1980 period
Güngen, Ali Rıza; Yalman, Osman Galip; Department of Political Science and Public Administration (2012)
This dissertation analyses the restructuring of the state and financialisation in Turkey in the post-1980 period with specific emphasis on public debt management. Turkey provides a model case of state pioneering financial deepening and intervening into the market for the socialisation of the losses of the financial sector. The dissertation argues that despite the increasing public debt ratio through 1980s and 1990s, the aim of financial deepening was persistent. The state contributed to the financialisation...
Economic uncertainty and credit crunch - Evidence from an emerging market
Rhoades, SD; Güner, Zehra Nuray (Informa UK Limited, 2003-07-01)
Using both univariate and multivariate analyses, this paper attempts to determine whether a credit crunch occurred in the Turkish economy during the 1990s. It also addresses the question of whether this credit crunch was a supply-side- or a demand-side-originated phenomenon. Economic uncertainty is proxied by unanticipated inflation. The analyses are carried out by controlling for political uncertainty as well. The results indicate that economic uncertainty has a significantly negative impact on the supply ...
The capital structure of Turkish real estate investment trusts (REITS)
Yıldırım, Burak; Erol, Işıl; Department of Financial Mathematics (2008)
To the best of my knowledge, there has not been any academic study about capital structure of Turkish REITs so far. This study attempts to fulfill this gap in the literature by analyzing the capital structure choices of Turkish REITs which are listed in Istanbul Stock Exchange (ISE) over the period of 1998 - 2007. The key contribution of this study is to understand whether the firm specific, institutional and country specific factors that affect the capital structures of all institutional firms including RE...
Risk analysis of the government domestic debt stock in Turkey: cost-at-risk approach
Gürcihan, H. Burcu; Gaygısız Lajunen, Esma; Department of Economics (2004)
In this study, stochastic simulation based risk analysis is applied to the government domestic debt stock in Turkey with the motivation to identify the cost and risk characteristics of alternative debt financing strategies. Future path of interest rates is simulated by using the yield curve forecasting framework in Diebold and Li (2002), which is founded on the Nelson-Siegel yield curve model. Yield curve simulation is based on the estimated term structure of interest rates for the period June 2001-July 200...
A market model for pricing inflation indexed bonds with jumps incorporation
Güney, İbrahim Ethem; Hayfavi, Azize; Department of Financial Mathematics (2008)
Protection against inflation is an essential part of the today's financial markets, particularly in high-inflation economies. Hence, nowadays inflation indexed instruments are being increasingly popular in the world financial markets. In this thesis, we focus on pricing of the inflation-indexed bonds which are the unique inflation-indexed instruments traded in the Turkish bond market. Firstly, we review the Jarrow-Yildirim model which deals with pricing of the inflation-indexed instruments within the HJM fr...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
N. Çelebi, “Public debt management in Turkey with stochastic optimization approach,” M.S. - Master of Science, Middle East Technical University, 2005.
