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Stochastic linear programs with restricted recourse
(1997)
Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
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 ...