Debt Management Analysis of Nepal's Public Debt

Publication | December 2005

This paper estimates an optimal target portfolio of sovereign debt for Nepal that minimizes long-term financing cost. In the analysis, a practical framework is applied, which is built upon the traditional mean-variance efficient frontier approach and simultaneously employs a relatively new concept of cost-at-risk (CaR). The framework is flexible enough to incorporate other factors such as liquidity risk. Simulation results show that the Nepali economy needs to increase longer-term domestic borrowing instruments, and that the maturity structure of domestic bonds should be simplified. The simulation also suggests an optimal currency composition of external debts in Nepal.

Contents 

  • Foreword
  • Abstract
  • Introduction
  • Outline of Methodology
  • Efficient Frontier and Benchmark Portfolio for Domestic Government Debt
  • Efficient Frontier and Benchmark Portfolio for External Government Debt
  • Concluding Remarks
  • References

Additional Details

Authors
Type
Series
Subjects
  • Finance sector development
Countries
  • Nepal
ISSN
  • 1655-5236 (Print)

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