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

Andrea Consiglio, Stavros A. Zenios

Risultato della ricerca: Articlepeer review

1 Citazioni (Scopus)

Abstract

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.
Lingua originaleEnglish
pagine (da-a)537-558
Numero di pagine22
RivistaOptimization and Engineering
Volume18
Stato di pubblicazionePublished - 2017

All Science Journal Classification (ASJC) codes

  • Software
  • Civil and Structural Engineering
  • Aerospace Engineering
  • Mechanical Engineering
  • Control and Optimization
  • Electrical and Electronic Engineering

Fingerprint Entra nei temi di ricerca di 'Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling'. Insieme formano una fingerprint unica.

Cita questo