Multivariate shortfall risk statistics with scenario analysis

Author(s):  
Xianfu Zeng ◽  
Haiyan Song ◽  
Yanhong Chen ◽  
Yijun Hu
2020 ◽  
Author(s):  
Jacobus (Jakkie) Cilliers ◽  
Stellah Kwasi ◽  
Kouassi yeboua ◽  
Marius Oosthuizen ◽  
Kelly Alexander ◽  
...  
Keyword(s):  

Author(s):  
Andrea Consiglio ◽  
Stavros A. Zenios

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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