Search results for "Debt restructuring"

showing 3 items of 13 documents

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

2017

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.

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_commonOptimization and Engineering
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Contingent Convertible Bonds for Sovereign Debt Risk Management

2018

Abstract We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign’s credit worthiness breaching a distress threshold. This financial innovation limits ex ante the likelihood of debt crises and imposes ex post risk sharing between creditors and the debtor. Drawing from literature on contingent contracts, neglected risks, and bank CoCo, we extend prevailing arguments in favor of sovereign CoCo (S-CoCo). We discuss issues relating to their design: which market trigger, market discipline and sovereign incentives, and errors of false alarms or missed crises, and provide supporting evidence with eurozone data and a simple simul…

media_common.quotation_subjectGeography Planning and DevelopmentMonetary economicsDebt crisiDebt restructuringDevelopmentScenario analysiPuttable bondConditional Value-at-RiskSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Debt0502 economics and businessEconomics050207 economicsConvertible bondRisk managementmedia_commonDebt crisis050208 financebusiness.industryPortfolio optimizationBondGDP-indexed bond05 social sciencesDebtorExpected shortfallDebt restructuringSovereign debtContingent contractbusinessGeneral Economics Econometrics and FinanceJournal of Globalization and Development
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Economic Crises, Sovereign Debt Restructurings and the Shifting Landscape of International Investment Law

2016

International audience

sovereign debt restructuring[SHS.DROIT]Humanities and Social Sciences/Lawinvestor-state dispute settlement (ISDS)[SHS.DROIT] Humanities and Social Sciences/Lawinternational investment laweconomic crisisComputingMilieux_MISCELLANEOUS[ SHS.DROIT ] Humanities and Social Sciences/Law
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