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Public Debt Sustainability (Chan-Lau & Santos)

Public debt sustainability and management in a compound option framework by Jorge A. Chan-Lau and André O. Santos (01/2010). “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…”

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