We argue that sovereign debt sustainability analysis must be augmentedby stochastic correlated risk factors and a risk measure to capture tail effects. Crisissituations can thus be adequately specified and analyzed with sufficient accuracy towarrant the relevance of policy decisions. In this context there is significant scopefor optimization modeling for both strategic planning and operational management.We discuss diverse aspects of the problem of debt sustainability and highlightmodeling approaches that can be brought to bear on the problem. Results with thefictitious, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessivedebt, illustrate the proposed models.
|Numero di pagine||22|
|Rivista||Optimization and Engineering|
|Stato di pubblicazione||Published - 2017|
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