PUBLIC FINANCE MANAGEMENT SYSTEMS MANAGEMENT SYSTEMS AND RISK MODELLING IN TURKISH TREASURY TURKISH TREASURY
OUTLINE OUTLINE Public Finance Management Systems •Payment Process P t P •Information Systems and Its Counterparts Risk Modelling •Objectives of the Public Debt Strategy Model •Model Building: The Conceptual Model •Data Collection •Coding •Illustrative Results •Illustrative Results
PUBLIC FINANCE MANAGEMENT SYSTEMS MANAGEMENT SYSTEMS
S Some Basic Facts About B i F t Ab t Turkish Treasury Public Finance Management Systems Systems •Developed Fully Inhouse Developed Fully Inhouse •Change Management Integration •Role Based Access Control R l B d A C t l •Enhanced Security Measures
PAYMENT PROCESS (SUMMARY) PAYMENT PROCESS (SUMMARY) FRONT OFFICE Borrowing Weekly, Borrowing Information monthly, Information quarterly projections p j Domestic Domestic CASH Financing Debt BACK OFFI CE Information MANAGEMENT Information System(DFIS) Form of remittance Weekly Accounting projections Information Payment System(AIS) List Payment Order ACCOUNTING CBRT DEPARTMENT DEPARTMENT
1 INFORMATION SYSTEM AND ITS COUNTERPARTS INFO. I I SYS. N N T T Receivable Receivable D Domestic Debt ti D bt E E External Debt Management R R System System F F System A A C C E E 2 Cash Based Payment Payment OFFICIAL Ops. Order Order DOCUMENT Non-cash Disbursement Agreement Based Ops. Agreement 3 Each journal defines the ACC. list of accounting ops list of accounting ops. INTERF INTERF. Accounting Interface to be held for each transaction.
INFORMATION SYSTEM AND ITS COUNTERPARTS Cash Based Payment 2 Payment Ops. Ops Order Order OFFICIAL OFFICIAL DOCUMENT Order Order Non-cash Disbursement Agreement g Based Ops Based Ops. Agreement 3 Each journal defines the ACC. list of accounting ops. INTERF. to be held for each Accounting Interface transaction. 4 ACC. SYS SYS. To Info. Systems Accounting System Central Bank.
I I N N T Receivable T Domestic Debt E E External Debt Management R R System System F F System A A C C E E E E 5 MID External Debt Receivable OFFICE Domestic Debt To To OPS:. To Risk Interface Risk Interface Risk Interface Ri k A Risk Analysis l i
DATA FLOW TO MIDDLE OFFICE RISK DATA FLOW TO MIDDLE OFFICE- RISK ANALYSIS Data dissemination: Data dissemination: Repayment projections on existing debt; principal&interest All CGS and GGS debt stock data All CGS and GGS debt stock data. Stock tables include data about debt composition by lenders, by instruments and remaining time to maturity of total domestic debt instruments and remaining time to maturity of total domestic debt stock. These figures are “primary market” data These figures are primary market data. Repayment of on-lent and guaranteed credits Guaranteed and on-lent debt stock G t d d l t d bt t k
RISK MODELLING
Objectives of the Public Debt Objectives of the Public Debt Strategy Model: Turkish Case Assess the sensitivity of public debt to Assess the sensitivity of public debt to market movements Help quantify the costs and risks Help quantify the costs and risks associated with alternative financing strategies: strategies: Provide assistance in developing the strategic guidelines strategic guidelines
Objectives of the Public Debt Strategy Model: The Strategic Benchmarks Benchmarks for Liquidity Risk Management Benchmarks for Liquidity Risk Management Before 2007 Before 2007 After 2007 After 2007 Average Maturity of Borrowing Portion of debt maturing within 12 months 12 months Balance of Treasury cash Balance of Treasury cash reserve reserve
Objectives of the Public Debt Strategy Model: The Strategic Benchmarks Benchmarks for Market Risk Management Benchmarks for Market Risk Management Before 2007 Before 2007 After 2007 After 2007 Fixed-Float Ratio of Borrowing, Portion of debt with interest rate re-fixed within 12 months rate re fixed within 12 months Average Time to A Ti t Interest Re-fixing Roll-over ratio of FX debt Currency composition of debt y p stock (local vs. foreign) Currency composition of FX Currency composition of FX- b borrowing i d bt debt
Model Building: The Conceptual Model Building: The Conceptual Model Scenario-1 Cost Scenario-2 . Strategy-1 . . Risk S Scenario-n i Alternative Strategies (2,3, ..., m) Cost Risk
Model Building: The Conceptual Model Conditional Cost-at-Risk (The Tail C@R) ( @ ) Probability density density Conditional Cost-at-Risk Conditional Cost at Risk Cost-at-Risk Cost
D t Data Collection C ll ti Challenges in Input Modelling: Challenges in Input Modelling: Lack of long data series Stationarity problems in data Regime changes Financial crises Distributional assumptions p How to cope with extreme cases (event risk)
C di Coding In-house model ? In house model ? requires programming skills some capable software platform provides flexibility or commercial software ? provides professionalism and efficiency in model implementation may prove to be less flexible to cope with the government’s needs restrictive in maintenance and upgrading more expensive
Coding: The Public Debt Strategy Model Coding: The Public Debt Strategy Model Macroeconomic Scenario Scenario Generation Expected cost & risk Debt of a given of a given Database Database strategy Cash Flow Modelling and Borrowing Requirement Alternative Strategies
Illustrative Results Distribution of Interest Costs Distribution of Interest Costs 300 250 200 cy Frequenc CC@R CC@R Frekans 150 100 50 0 42 42 44 44 46 46 48 48 50 50 52 52 54 54 Milyar YTL Billion TRY
Illustr ative R e sults: Mode lling Analysis Distr Distr ibution of De bt Stoc k Pr ibution of De bt Stoc k Pr oje c tions oje c tions 90 80 70 GNP MH (%) 60 60 Stock/G Borç Stoku/GSM requency 50 40 40 Fr 30 20 20 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 years
Th Thank You k Y Feyza Alkan Feyza Alkan Department of Market Risk Management feyza.alkan@treasury.gov.tr y @ y g
Recommend
More recommend
