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Optimization and Engineering

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20.05.2017 | Discussion Article

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

verfasst von: Andrea Consiglio, Stavros A. Zenios

Erschienen in: Optimization and Engineering | Ausgabe 2/2017

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Abstract

We argue that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitious, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the proposed models.

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Titel: Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
verfasst von: Andrea Consiglio
Stavros A. Zenios
Publikationsdatum: 20.05.2017
Verlag: Springer US
Erschienen in: Optimization and Engineering / Ausgabe 2/2017
Print ISSN: 1389-4420
Elektronische ISSN: 1573-2924
DOI: https://doi.org/10.1007/s11081-017-9360-7

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