IDEAS home Printed from https://ideas.repec.org/p/ecl/upafin/14-14.html
   My bibliography  Save this paper

Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries

Author

Listed:
  • Consiglio, Andrea

    (University of Palermo)

  • Zenios, Stavros A.

    (University of Cyprus and University of PA)

Abstract

This paper uses a risk-management approach to re-profiling the sovereign debt of countries facing debt crises. Using scenario analysis we develop a risk measure of the sovereign's debt--Conditional Debt-at-Risk--and an optimization model is used to trace risk profiles that tradeoff expected cost of debt financing against the Conditional Debt-at-Risk. The risk profiles are particularly informative for crisis countries, as they allow us to identify, with high-probability, debt unsustainability. We develop risk profiles for two Eurozone countries with excessive debt, Cyprus and Italy, both in their current form and under various forms of restructuring or rescheduling, and show how to assess debt sustainability. We also develop the risk profiles for a proposal to impose "debt sanctions" in the Ukrainian crisis and show that the (financial) impact could be substantial.

Suggested Citation

  • Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries," Working Papers 14-14, University of Pennsylvania, Wharton School, Weiss Center.
    • Handle: RePEc:ecl:upafin:14-14
    as

    Download full text from publisher

    File URL: http://fic.wharton.upenn.edu/fic/papers/14/p1414.html
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Consiglio Andrea & Zenios Stavros A., 2015. "Risk Management Optimization for Sovereign Debt Restructuring," Journal of Globalization and Development, De Gruyter, vol. 6(2), pages 181-213, December.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecl:upafin:14-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/wcupaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.