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dc.contributor.authorConsiglio, Andreaen
dc.contributor.authorZenios, Stavros A.en
dc.creatorZenios, Stavros A.en
dc.creatorConsiglio, Andreaen
dc.date.accessioned2019-05-02T06:58:52Z
dc.date.available2019-05-02T06:58:52Z
dc.date.issued2015-12
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47044
dc.description.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 "conditional Debt-at-Risk". A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, multiple currencies and step-up or linked contractual features. Alternative debt profiles -- obtained by maturity rescheduling, interest payment concessions or nominal value haircuts -- are analyzed for their expected cost-risk tradeoffs. With a suitable re-calculation of the efficient frontier, the risk of debt unsustainability of alternative risk profiles can be ascertained with a given confidence level. The model is applied to Greece sovereign debt crisis analyzing the suitability of various proposals to restore debt sustainability.en
dc.format.extent28 p.
dc.language.isoengen
dc.publisherJournal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10.en
dc.relationinfo:eu-repo/grantAgreement/EC/H2020/655092/DebtRisksen
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Greece*
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.rightsOpen Accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/gr/*
dc.source.uriSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478380en
dc.subjectSovereign debten
dc.subjectDebt restructuringen
dc.subjectScenario analysisen
dc.subjectPortfolio optimizationen
dc.subjectStochastic programmingen
dc.subjectValue-at-Risken
dc.subjectConditional Value-at-Risken
dc.subjectGreek crisisen
dc.titleRisk management optimization for sovereign debt restructuringen
dc.typeinfo:eu-repo/semantics/workingPaper
dc.identifier.doi10.2139/ssrn.2478380
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance
dc.type.uhtypeWorking Paperen
dc.contributor.orcidZenios, Stavros A. [0000-0001-7576-4898]
dc.contributor.orcidConsiglio, Andrea [0000-0003-1654-9172]


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Attribution-NonCommercial-NoDerivs 3.0 Greece
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Greece