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A Risk-Based Debt Sustainability Framework

A Risk-Based Debt Sustainability Framework PDF Author: Ms.Elena Loukoianova
Publisher: International Monetary Fund
ISBN: 1451869029
Category : Business & Economics
Languages : en
Pages : 27

Book Description
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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