6533b850fe1ef96bd12a8549
RESEARCH PRODUCT
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Andrea ConsiglioStavros A. ZeniosStavros A. ZeniosStavros A. Zeniossubject
WarrantStrategic planningControl and OptimizationActuarial scienceScope (project management)050204 development studiesMechanical Engineeringmedia_common.quotation_subjectRisk measure05 social sciencesAerospace EngineeringContext (language use)Financial engineeringRisk analysis (engineering)Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Sovereign debtDebt restructuringRestructuringSustainabilityScenariosPortfolio optimizationCVaRDebt0502 economics and businessSustainabilityEconomics050207 economicsElectrical and Electronic EngineeringSoftwareCivil and Structural Engineeringmedia_commondescription
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 problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitious, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the proposed models.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-05-20 | Optimization and Engineering |