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 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.
|Date of creation:||01 Feb 2008|
|Date of revision:|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003.
13932, University Library of Munich, Germany.
- Andrew Berg & Eduardo Borensztein & Catherine A. Pattillo, 2004.
"Assessing Early Warning Systems; How Have they Worked in Practice?,"
IMF Working Papers
04/52, International Monetary Fund.
- Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 5.
- Bulow, Jeremy & Rogoff, Kenneth, 1989.
"A Constant Recontracting Model of Sovereign Debt,"
Journal of Political Economy,
University of Chicago Press, vol. 97(1), pages 155-78, February.
- Jeremy I. Bulow & Kenneth Rogoff, 1986. "A Constant Recontracting Model of Sovereign Debt," NBER Working Papers 2088, National Bureau of Economic Research, Inc.
- Jeremy A.Rogoff Bulow & Kenneth, 1986. "A Constant Recontracting Model of Sovereign Debt," University of Chicago - George G. Stigler Center for Study of Economy and State 43, Chicago - Center for Study of Economy and State.
- Bulow, Jeremy & Rogoff, Kenneth S., 1989. "A Constant Recontracting Model of Sovereign Debt," Scholarly Articles 12491028, Harvard University Department of Economics.
- Peter Rowland & José Luis Torres, .
"Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study,"
Borradores de Economia
295, Banco de la Republica de Colombia.
- Peter Rowland & José Luis Torres Trespalacios, 2004. "Determinants Of Spread And Creditworthiness For Emerging Market Sovereign Debt: A Panel Data Study," BORRADORES DE ECONOMIA 002337, BANCO DE LA REPÚBLICA.
- Samuel Malone, 2005. "Managing Default Risk for Commodity Dependent Countries: Price Hedging in an Optimizing Model," Economics Series Working Papers 246, University of Oxford, Department of Economics.
- Wilcox, David W, 1989.
"The Sustainability of Government Deficits: Implications of the Present-Value Borrowing Constraint,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 21(3), pages 291-306, August.
- David W. Wilcox, 1987. "The substainability of government deficits: implications of the present- value borrowing constraint," Working Paper Series / Economic Activity Section 77, Board of Governors of the Federal Reserve System (U.S.).
- Hans Genberg & Astrit Sulstarova, 2004.
"Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads,"
IHEID Working Papers
03-2004, Economics Section, The Graduate Institute of International Studies.
- Genberg, Hans & Sulstarova, Astrit, 2008. "Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 26-39, February.
- Hans Genberg & Astrit Sulstarova, 2005. "Macroeconomic Volatility, Debt Dynamics, and Sovereign Interest Rate Spreads," Working Papers 182005, Hong Kong Institute for Monetary Research.
- Yingbin Xiao & Dale F. Gray & Cheng Hoon Lim & Michael T. Gapen, 2004. "The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer," IMF Working Papers 04/121, International Monetary Fund.
- Christian Keller & Peter Kunzel & Marcos Souto, 2007. "Measuring Sovereign Risk in Turkey; An Application of the Contingent Claims Approach," IMF Working Papers 07/233, International Monetary Fund.
- repec:rus:hseeco:123922 is not listed on IDEAS
- Luis Catão & Sandeep Kapur, 2006. "Volatility and the Debt-Intolerance Paradox," IMF Staff Papers, Palgrave Macmillan, vol. 53(2), pages 1.
- Michael Gapen & Dale Gray & Cheng Hoon Lim & Yingbin Xiao, 2008. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Staff Papers, Palgrave Macmillan, vol. 55(1), pages 109-148, April.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:08/40. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.