Risk management for sovereign financing within a debt sustainability framework
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- Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2019. "The Maturity of Sovereign Debt Issuance in the Euro Area," CEPR Discussion Papers 13729, C.E.P.R. Discussion Papers.
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Keywordsovereign debt; sustainability; debt financing; optimization; stochastic programming; scenario analysis; conditional Value-at-Risk; risk measures;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MAC-2020-01-20 (Macroeconomics)
- NEP-ORE-2020-01-20 (Operations Research)
- NEP-RMG-2020-01-20 (Risk Management)
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