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Measuring Sovereign Risk in Turkey [electronic resource] : An Application of the Contingent Claims Approach, Keller, Christian.

Author/Creator:
Keller, Christian.
Publication:
Washington, D.C. : International Monetary Fund, 2007.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 07/233.
IMF Working Papers; Working Paper No. 07/233
Format/Description:
Government document
Book
1 online resource (27 p.)
Local subjects:
Central bank.
Credit risk.
Currency debt.
Currency swaps.
Debt default.
Debt holders.
Debt management.
Debt management policy.
Debt management strategy.
Debt obligations.
Debt ratios.
Debt reduction.
Debt servicing.
Debt statistics.
Domestic currency.
Domestic debt.
Economic indicators.
Economic models.
Exchange rate.
Exchange rate depreciation.
Exchange rates.
Exchange reserves.
Exchange risk.
Exchange risks.
External debt.
External debt reduction.
Foreign currency debt.
Foreign debt.
Foreign exchange.
Foreign exchange reserves.
Foreign exchange risk.
Foreign exchange risks.
Forward exchange.
Forward exchange rate.
Long-term debt.
Maturity structure of debt.
Net debt.
Public debt.
Public sector debt.
Reserve holdings.
Short-term debt.
Sovereign debt.
Sovereign default.
Sovereign defaults.
Spot exchange rate.
Stock of debt.
Turkey.
Summary:
Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey''s overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006 market turbulence. This paper examines these changes in Turkey''s risk profile using the Contingent Claims Approach (CCA), to quantify the evolution of Turkey''s sovereign risk, relate risk indicators to market prices of risk, and conduct scenario analyses to assess the effects of potential market volatility and policy adjustments on key risk indicators.
Notes:
Description based on print version record.
Contributor:
Keller, Christian.
Kunzel, Peter.
Souto, Marcos.
Other format:
Print Version:
ISBN:
1451867972:
9781451867978
ISSN:
1018-5941
Publisher Number:
10.5089/9781451867978.001
Access Restriction:
Restricted for use by site license.
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