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A Risk-Based Debt Sustainability Framework

A Risk-Based Debt Sustainability Framework »

Source: A Risk-Based Debt Sustainability Framework : Incorporating Balance Sheets and Uncertainty

Volume/Issue: 2008/40

Series: IMF Working Papers

Author(s): Dale Gray , Elena Loukoianova , Samuel Malone , and Cheng Lim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2008

ISBN: 9781451869026

Keywords: Contingent Claims, currency debt, foreign currency, foreign currency debt, risk premium,

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 mode...

Measuring Sovereign Risk in Turkey

Measuring Sovereign Risk in Turkey »

Source: Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach

Volume/Issue: 2007/233

Series: IMF Working Papers

Author(s): Christian Keller , Peter Kunzel , and Marcos Souto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451867978

Keywords: Contingent Claims, domestic debt, exchange rate, external debt, foreign exchange, forward exchange rate,

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...

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1 »

Source: Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants

Volume/Issue: 2013/9

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781475544602

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, claims, banking systems, banking statistics, International Lending and Debt Problems

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance...

A Risk-Based Debt Sustainability Framework
			: Incorporating Balance Sheets and Uncertainty

A Risk-Based Debt Sustainability Framework : Incorporating Balance Sheets and Uncertainty »

Volume/Issue: 2008/40

Series: IMF Working Papers

Author(s): Dale Gray , Elena Loukoianova , Samuel Malone , and Cheng Lim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2008

DOI: http://dx.doi.org/10.5089/9781451869026.001

ISBN: 9781451869026

Keywords: Contingent Claims, currency debt, foreign currency, foreign currency debt, risk premium,

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 mode...

Measuring Sovereign Risk in Turkey
			: An Application of the Contingent Claims Approach

Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach »

Volume/Issue: 2007/233

Series: IMF Working Papers

Author(s): Christian Keller , Peter Kunzel , and Marcos Souto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

DOI: http://dx.doi.org/10.5089/9781451867978.001

ISBN: 9781451867978

Keywords: Contingent Claims, domestic debt, exchange rate, external debt, foreign exchange, forward exchange rate,

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...

Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants

Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants »

Volume/Issue: 2013/9

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

DOI: http://dx.doi.org/10.5089/9781475544602.001

ISBN: 9781475544602

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, claims, banking systems, banking statistics, International Lending and Debt Problems

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance...