Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling

Volume: 18, Issue: 2, Pages: 537 - 558
Published: May 20, 2017
Abstract
We argue that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the...
Paper Details
Title
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Published Date
May 20, 2017
Volume
18
Issue
2
Pages
537 - 558
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