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Measuring Sovereign Risk in Turkey An Application of the Contingent Claims Approach

Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006...

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Bibliographic Details
Main Author: Keller, Christian
Other Authors: Kunzel, Peter, Souto, Marcos
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2007
Series:IMF Working Papers
Subjects:
Public Administration
Public Debt
Public Finance & Taxation
Financial Statements
Currency; Foreign Exchange
Debt Management
Debts, Public
Domestic Debt
Debt
Exports And Imports
International Economics
International Lending And Debt Problems
Debts, External
External Debt
Sovereign Debt
Foreign Exchange
Accounting
Finance, Public; Accounting
Public Sector Accounting And Audits
Financial Reporting, Financial Statements
Public Finance
Turkey
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006 market turbulence. This paper examines these changes in Turkey's risk profile using the Contingent Claims Approach (CCA), to quantify the evolution of Turkey's sovereign risk, relate risk indicators to market prices of risk, and conduct scenario analyses to assess the effects of potential market volatility and policy adjustments on key risk indicators
Physical Description:27 pages
ISBN:9781451867978

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