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PROJECT

Ministry of Finance and Public Credit (MHCP) defines a Debt Management Strategy

Medium Term Debt Management Plan (EGDMP), with which it designs the optimal composition of the Nation's liabilities, in terms of currency, term and rate.
Quantil has supported the MHCP in the mathematical modeling leading to determine this optimum.

Approach

The model starts from the classica portfolio optimization paradigm (with the cost-risk profile) and elaborates towards determining the debt portfolio that optimizes a utility function reflecting the conservative profile of the nature of this underlying. Elements such as the market's capacity to absorb the debt, the difficulty of quickly rebalancing the portfolio, the limits imposed on issuance in different currencies and the nature of the Nation's revenues are incorporated in the development of the model, which is implemented on secure access servers by authorized officials.

Results

The tool allows the user to calibrate different risk appetites and define issuance limits by currency, term and rate type, and returns histograms of the cos of debt service for econometric projections of the underlying risk factors. As a final result, the debt composition that maximizes the expected utility of the Nation is exposed.

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David Hume
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D. Hilbert
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Eddington
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Codorcet
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R. Feynman
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Bertrand Russell
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G. Box
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André Weil
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Prager
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Xu Guangpi
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A. Einstein
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Niels Bohr
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Carl Gustav Jacobi
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