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Now showing items 11-17 of 17
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-05)
We express the opinion 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 ...
Pricing sovereign contigent convertible debt
(2018)
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign’s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent ...
Contingent convertible bonds for sovereign debt risk management
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2015-11)
We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the ...
Risk management for sovereign financing within a debt sustainability framework
(European Stability Mechanism Working Paper No. 31, 2018-09)
The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
Portfolio diversification in the sovereign credit swap markets
(2018)
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...