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
Multi-objective approaches to public debt management
Download
index.pdf
Date
2008
Author
Balıbek, Emre
Metadata
Show full item record
Item Usage Stats
300
views
187
downloads
Cite This
Public debt managers have a certain range of borrowing instruments varying in their interest rate type, currency, maturity etc. at their disposal and have to find an appropriate combination of those while raising debt on behalf of the government. In selecting the combination of instruments to be issued, i.e. the borrowing strategy to be pursued for a certain period of time, debt managers need to consider several objectives that are conflicting by their nature, and the uncertainty associated with the outcomes of the decisions made. The objective of this thesis is to propose an approach to support the decision making process regarding sovereign debt issuance. We incorporate Multi-Criteria Decision Making (MCDM) tools using a multi-period stochastic programming model that takes into account sequential decisions concerned with debt issuance policies. The model is then applied for public debt management in Turkey.
Subject Keywords
Finance, Public.
,
Risk management.
URI
http://etd.lib.metu.edu.tr/upload/12609305/index.pdf
https://hdl.handle.net/11511/17559
Collections
Graduate School of Natural and Applied Sciences, Thesis
Suggestions
OpenMETU
Core
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...
Statistical methods in credit rating
Sezgin, Özge; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2006)
Credit risk is one of the major risks banks and financial institutions are faced with. With the New Basel Capital Accord, banks and financial institutions have the opportunity to improve their risk management process by using Internal Rating Based (IRB) approach. In this thesis, we focused on the internal credit rating process. First, a short overview of credit scoring techniques and validation techniques was given. By using real data set obtained from a Turkish bank about manufacturing firms, default predi...
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...
Stochastic volatility, a new approach for vasicek model with stochastic volatility
Zeytun, Serkan; Hayfavi, Azize; Department of Financial Mathematics (2005)
In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The para...
Default risk of wage-indexed payment mortgage in Turkey
Erol, Işıl; Patel, K (2005-09-01)
This paper analyses default risk of wage-indexed payment mortgage (WIPM) in Turkey in comparison with other standard mortgage contracts originated in high inflationary economies. Emlak Bank launched WIPM linked to Civil Service employees' wage (CSW) index during high inflationary period of late 1990s. Concurrently, the government introduced a policy linking CSW index to semi-annual expected rate of inflation in an attempt to facilitate housing finance for the fastest growing sector of the population. We fin...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
E. Balıbek, “Multi-objective approaches to public debt management,” Ph.D. - Doctoral Program, Middle East Technical University, 2008.