Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries

Andrea Consiglio () and Stavros Zenios

Working Papers from University of Pennsylvania, Wharton School, Weiss Center

Abstract: This paper uses a risk-management approach to re-profiling the sovereign debt of countries facing debt crises. Using scenario analysis we develop a risk measure of the sovereign's debt--Conditional Debt-at-Risk--and an optimization model is used to trace risk profiles that tradeoff expected cost of debt financing against the Conditional Debt-at-Risk. The risk profiles are particularly informative for crisis countries, as they allow us to identify, with high-probability, debt unsustainability. We develop risk profiles for two Eurozone countries with excessive debt, Cyprus and Italy, both in their current form and under various forms of restructuring or rescheduling, and show how to assess debt sustainability. We also develop the risk profiles for a proposal to impose "debt sanctions" in the Ukrainian crisis and show that the (financial) impact could be substantial.

Date: 2014-09
New Economics Papers: this item is included in nep-ger
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fic.wharton.upenn.edu/fic/papers/14/p1414.html
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://fic.wharton.upenn.edu/fic/papers/14/p1414.html [301 Moved Permanently]--> https://wifpr.wharton.upenn.edu/fic/papers/14/p1414.html)

Related works:
Journal Article: Risk profiles for re-profiling the sovereign debt of crisis countries (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:upafin:14-14

Access Statistics for this paper

More papers in Working Papers from University of Pennsylvania, Wharton School, Weiss Center Contact information at EDIRC.
Bibliographic data for series maintained by ().