Advances in Risk Management of Government Debt by Organisation for Economic Co-Operation a

By Organisation for Economic Co-Operation a

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2. The Survey was designed and processed by the Rits de Boer of the Dutch Debt Agency. The results of the Survey are based on the responses of 10 OECD jurisdictions. 3. See Hans J. Blommestein and Lars Kalderen (2002), The Role and Structure of Debt Management Offices, in: Public Debt Management and Government Securities Markets in the 21st Century, OECD. 4. See Chapter 5, this volume, for details. 5. See Chapter 6, this volume, for details. 6. Graeme Wheeler (2004), Sound Practice in Government Debt Management, The World Bank.

Most sovereigns set limits on exposure to individual counterparts, while they also have product limits in place. Very few sovereigns deduce these individual limits from a pre-set total maximum limit or from a total maximum acceptable loss. In most cases, adding a counterparty will, in theory, raise the overall potential limit. Some sovereigns determine their maximum overall limit on the basis of their need to invest in assets. Many sovereigns use 95% or 99% confidence intervals to measure maximum losses.

Data constrains may significantly impair the usefulness of the models, and the results obtained may be strongly model-dependent and sensitive to the parameters used. ” These considerations explain why stress tests are useful. As noted above, macroeconomic models have the advantage that they model the relationship between interest rates, economic growth and budget balance in a consistent way. This relationship is at the heart of ALM management used for government debt. On the other hand, structural macroeconomic models may impose too rigid and stylised relations between macroeconomic and financial variables.

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