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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Bibliographic Details
Main Author: Gray, Dale F. (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 2008
Series:IMF Working Papers Working Paper No. 08/40
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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
Physical Description:1 Online-Ressource (25 p)
ISBN:1451869029
9781451869026

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