A Risk-Based Debt Sustainability Framework Incorporating Balance Sheets and Uncertainty
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...
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| Other Authors: | , , |
| Format: | eBook |
| Language: | English |
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Washington, D.C.
International Monetary Fund
2008
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| Series: | IMF Working Papers
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| Subjects: | |
| Online Access: | |
| Collection: | International Monetary Fund - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | 25 pages |
| ISBN: | 9781451869026 |