Multi-objective approaches to public debt management

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Date

2008

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Balıbek, Emre

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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

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Citation Formats

E. Balıbek, “Multi-objective approaches to public debt management,” Ph.D. - Doctoral Program, Middle East Technical University, 2008.