D. Gray, Cheng Hoon Lim, Elena Loukoianova, Samuel W. Malone
{"title":"A Risk-Based Debt Sustainability Framework: Incorporating Balance Sheets and Uncertainty","authors":"D. Gray, Cheng Hoon Lim, Elena Loukoianova, Samuel W. Malone","doi":"10.5089/9781451869026.001","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"82 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"36","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Macroeconomics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5089/9781451869026.001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 36
Abstract
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.