A Risk Management Approach To Emerging Market's Sovereign Debt Sustainability

Topics:
Risk Analysis and Management
Tags:
Emerging Market,
Strategy,
Security,
Risk Management,
National Bureau Of Economic Research,
Management,
Financial Services,
Financial Planning,
Finance,
Sustainability
Source:
National Bureau of Economic Research

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Overview: This paper studies the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. The methodology is illustrated by studying the Brazilian case. The authors found that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, it is shown that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt.

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Format: PDF | Size: 520KB | Date: Mar 2004 | Pages: 24

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