scholarly journals Effects of Eurobonds: A stochastic sovereign debt sustainability analysis for Portugal, Ireland and Greece

2014 ◽  
Vol 42 ◽  
pp. 156-173 ◽  
Author(s):  
J. Tielens ◽  
B. van Aarle ◽  
J. Van Hove
Keyword(s):  
Sovereign Debt ◽  
Debt Sustainability ◽  
Sustainability Analysis

scholarly journals The IMF Debt Sustainability Analysis: Issues and Problems

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Martin Guzman ◽  
Daniel Heymann
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Sovereign Debt ◽  
Analysis Framework ◽  
Debt Sustainability ◽  
Yield Spreads ◽  
Sustainability Analysis ◽  
Market Interest Rate ◽  
Evaluation Exercise ◽  
The Imf

AbstractThis paper reviews the IMF DSA (Debt Sustainability Analysis) framework. We first examine the concept of debt sustainability, and argue that the evaluation exercise necessarily entails putting into question market expectations embodied in yield spreads. When the views of the analyst on the capacity of debt repayment differ from the ones reflected in market interest rate premiums, the use of market interest rates for assessing debt sustainability leads to an inconsistency that will in turn bias the assessment. We then show that IMF projections for assessing debt sustainability have been repeatedly biased, which may have contributed to distort the timing of sovereign debt restructurings and the consequent processes of renegotiation. We conclude with a discussion on how the existing DSA framework could be improved.

scholarly journals Sovereign Debt Restructuring: A Modest Proposal

2021 ◽  
Vol 4 (1) ◽  
pp. p8
Author(s):  
Colin Ellis
Keyword(s):  
Sovereign Debt ◽  
Correlated Errors ◽  
Debt Restructuring ◽  
Debt Sustainability ◽  
Sustainability Analysis ◽  
Modest Proposal ◽  
Debt Dynamics ◽  
Sovereign Defaults

Many sovereigns, including weaker credits, have taken on substantial debt during the COVID-19 pandemic. This raises the prospect of future defaults and sovereign restructurings, which will be informed by debt-sustainability analysis. But when analyzing notable recent sovereign defaults, we find a pattern of serially correlated errors: the analysis at the time of the restructuring is too optimistic about future sovereign debt dynamics. In light of this, I propose that future sustainability analysis should be based on more pessimistic expectations. In turn, this implies that sovereign creditors should face larger losses in future restructurings.

Risk Management Optimization for Sovereign Debt Restructuring

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Andrea Consiglio ◽  
Stavros A. Zenios
Keyword(s):  
Risk Management ◽  
Scenario Analysis ◽  
Sovereign Debt ◽  
Risk Measure ◽  
Policy Tools ◽  
Debt Restructuring ◽  
Tail Risk ◽  
Debt Sustainability ◽  
Scenario Optimization ◽  
Management Optimization

AbstractDebt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed

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