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1. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation ModelKandidat-uppsats, KTH/Matematisk statistik
Sammanfattning : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. LÄS MER