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A Risk-Based Debt Sustainability Framework [electronic resource] : Incorporating Balance Sheets and Uncertainty, Gray, Dale F..

Author/Creator:
Gray, Dale F.
Publication:
Washington, D.C. : International Monetary Fund, 2008.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 08/40.
IMF Working Papers; Working Paper No. 08/40
Format/Description:
Government document
Book
1 online resource (25 p.)
Local subjects:
Balance sheet effects.
Balance sheet information.
Central bank.
Commercial debt.
Currency composition.
Currency composition of debt.
Currency compositions.
Currency debt.
Currency risk.
Debt crises.
Debt dynamics.
Debt intolerance.
Debt management.
Debt management operations.
Debt manager.
Debt managers.
Debt maturity.
Debt maturity extensions.
Debt obligations.
Debt portfolio.
Debt ratio.
Debt ratios.
Debt restructuring.
Debt service.
Debt service obligations.
Debt structures.
Debt sustainability.
Debt sustainability analysis.
Domestic currency.
Domestic debt.
External debt.
External shock.
External shocks.
External volatility.
Foreign currency.
Foreign currency debt.
Foreign debt.
Government debt.
Government deficits.
Interest payments.
Investment management.
Investors.
Market debt.
Maturity structure of debt.
Nominal interest rates.
Outstanding debt.
Private creditors.
Public debt.
Public sector debt.
Real interest rates.
Reserve holdings.
Reserve management.
Reserve management policy.
Risk management.
Risk premium.
Sovereign borrower.
Sovereign borrowers.
Sovereign debt.
Sovereign default.
Subordinated debt.
Traditional debt sustainability analysis.
Indonesia.
Turkey.
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.
Notes:
Description based on print version record.
Contributor:
Gray, Dale F.
Lim, Cheng Hoon.
Loukoianova, Elena.
Malone, Samuel W.
Other format:
Print Version:
ISBN:
1451869029:
9781451869026
ISSN:
1018-5941
Publisher Number:
10.5089/9781451869026.001
Access Restriction:
Restricted for use by site license.
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