A Risk-Based Debt Sustainability Framework: Incorporating Balance Sheets and Uncertainty
| Autor: | Samuel W. Malone, Elena Loukoianova, Dale F. Gray, Cheng Hoon Lim |
|---|---|
| Rok vydání: | 2008 |
| Předmět: |
Actuarial science
business.industry media_common.quotation_subject Risk premium Public sector Policy analysis Debt Economics Sovereign credit risk Debt sustainability Balance sheets Sovereign risk Public debt Reserve management policy Risk management Contingent Claims currency debt foreign currency foreign currency debt risk premium General Earth and Planetary Sciences Balance sheet business General Environmental Science media_common Credit risk |
| Zdroj: | IMF Working Papers. :1 |
| ISSN: | 1018-5941 |
| DOI: | 10.5089/9781451869026.001 |
| Popis: | This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to provide a clear and workable complement to traditional debt sustainability analysis which-although it has many useful applications-suffers from the inability to measure risk exposures, default probabilities and credit spreads. Importantly, this new framework can be adapted for policy analysis, including debt and reserve management. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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