01819cas a2200253 a 4500 AALejournalIMF006206 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451961676 1018-5941 BD-DhAAL BD-DhAAL Chan-Lau, Jorge. Public Debt Sustainability and Management in a Compound Option Framework / Jorge Chan-Lau, Andre Santos. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies. Mode of access: Internet Santos, Andre. IMF Working Papers; Working Paper ; No. 2010/002 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/002/001.2010.issue-002-en.xml IMF e-Library