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Title: |
Cost-at-Risk and Benchmark Government Debt
Portfolio in Korea |
| Author: |
Hahm, Joon-Ho;
Kim, Jinho |
| Author
Affiliation: |
Yonsei U; Ewha
Woman's U |
| Source: |
International Economic Journal, Summer 2003, v. 17, no. 2, pp. 79-103 |
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Publication Date: |
Summer 2003 |
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Abstract: |
This paper
provides a framework to identify and achieve a benchmark portfolio
structure for government debt based upon the trade-off between expected
debt-service-cost and risk. Using actual Korean government debt data, we
empirically derive a medium-term efficient frontier conditional upon the
existing portfolio structure. In addition, a target benchmark portfolio
is identified from the efficient frontier by employing a penalty
function with cost-at-risk and duration gap as two penalty factors. The
target portfolio identified above also implies an optimal borrowing
policy as to the maturity mix of the government bond issuance. |
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