A Risk Based Debt Sustainability Framework
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A Risk Based Debt Sustainability Framework
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Author : Ms.Elena Loukoianova
language : en
Publisher: International Monetary Fund
Release Date : 2008-02-01
A Risk Based Debt Sustainability Framework written by Ms.Elena Loukoianova and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-01 with Business & Economics categories.
This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to provide a clear and workable complement to traditional debt sustainability analysis which-although it has many useful applications-suffers from the inability to measure risk exposures, default probabilities and credit spreads. Importantly, this new framework can be adapted for policy analysis, including debt and reserve management.
A Risk Based Debt Sustainability Framework
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Author :
language : en
Publisher:
Release Date : 2008
A Risk Based Debt Sustainability Framework written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Claims categories.
This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to provide a clear and workable complement to traditional debt sustainability analysis which-although it has many useful applications-suffers from the inability to measure risk exposures, default probabilities and credit spreads. Importantly, this new framework can be adapted for policy analysis, including debt and reserve management.
Staff Guidance Note On The Sovereign Risk And Debt Sustainability Framework For Market Access Countries
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Author : International Monetary Fund. Strategy, Policy, & Review Department
language : en
Publisher: International Monetary Fund
Release Date : 2022-08-08
Staff Guidance Note On The Sovereign Risk And Debt Sustainability Framework For Market Access Countries written by International Monetary Fund. Strategy, Policy, & Review Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-08 with Business & Economics categories.
This note provides operational guidance for the use of the Sovereign Risk and Debt Sustainability Framework (SRDSF), which replaces the Debt Sustainability Framework for Market Access Countries. The SRDSF introduces improvements in organization, methodology, transparency, and communication when analyzing public debt issues in countries that mainly finance themselves with market-based debt. After its phased adoption beginning [June 2022], it will become the Fund’s principal tool for assessing public debt sustainability.
Review Of The Debt Sustainability Framework For Market Access Countries
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Author : International Monetary Fund. Strategy, Policy, & Review Department
language : en
Publisher: International Monetary Fund
Release Date : 2021-02-03
Review Of The Debt Sustainability Framework For Market Access Countries written by International Monetary Fund. Strategy, Policy, & Review Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-03 with Business & Economics categories.
A careful review has revealed significant scope to modernize and better align the MAC DSA with its objectives and the IMF’s lending framework. This note proposes replacing the current framework with a new methodology based on risk assessments at three different horizons. Extensive testing has shown that the proposed framework has much better predictive accuracy than the current one. In addition to predicting sovereign stress, the framework can be used to derive statements about debt stabilization under current policies and about debt sustainability.
Review Of The Debt Sustainability Framework For Low Income Countries
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Author : International Monetary Fund. Strategy, Policy, & Review Department
language : en
Publisher: International Monetary Fund
Release Date : 2017-02-10
Review Of The Debt Sustainability Framework For Low Income Countries written by International Monetary Fund. Strategy, Policy, & Review Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-10 with Business & Economics categories.
The Debt Sustainability Framework for Low-income Countries (LIC DSF) has been the cornerstone of assessments of risks to debt sustainability in LICs. The framework classifies countries based on their assessed debt-carrying capacity, estimates threshold levels for selected debt burden indicators, evaluates baseline projections and stress test scenarios relative to these thresholds, and then combines indicative rules and staff judgment to assign risk ratings of external debt distress. The framework has demonstrated its operational value since the last review was conducted in 2012, but there are areas where new features can be introduced to enhance its performance in assessing risks. Against the backdrop of the evolving nature of risks facing LICs, both staff analysis and stakeholder feedback suggest gaps in the framework to be addressed. Complexity and lack of transparency have also been highlighted as causes for concern. This paper proposes a set of reforms to enhance the value of the LIC DSF for all users. In developing these reforms, staff has been guided by two over-arching principles: a) the core architecture of the DSF—model-based results complemented by judgment—remains appropriate; and b) reforms should ensure that the DSF maintains an appropriate balance by providing countries with early warnings of potential debt distress without unnecessarily constraining their borrowing for development.
Modernizing The Framework For Fiscal Policy And Public Debt Sustainability Analysis
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2011-05-08
Modernizing The Framework For Fiscal Policy And Public Debt Sustainability Analysis written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-05-08 with Business & Economics categories.
Modernizing the framework for fiscal policy and public debt sustainability analysis (DSA) has become necessary, particularly in light of the recent crisis and rising sustainability concerns in some advanced economies. While recognizing the inherently challenging nature of such analysis, this paper highlights areas where improvements are needed and makes both general and specific proposals on how this could be achieved. It also proposes to move to a risk-based approach to DSAs for all market-access countries, where the depth and extent of analysis would be commensurate with concerns regarding sustainability, while a reasonable level of standardization would be maintained.
Staff Guidance Note For Public Debt Sustainability Analysis In Market Access Countries
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Author : International Monetary Fund. Fiscal Affairs Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2013-05-06
Staff Guidance Note For Public Debt Sustainability Analysis In Market Access Countries written by International Monetary Fund. Fiscal Affairs Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-06 with Business & Economics categories.
The framework for fiscal policy and public debt sustainability analysis (DSA) in market-access countries (MACs) was reviewed by the Executive Board in August 2011.1 The review responded to shortcomings in identifying fiscal vulnerabilities and assessing risks to debt sustainability against the backdrop of increased concerns over fiscal policy and public debt sustainability in many advanced economies.
Assessing Bias And Accuracy In The World Bank Imf S Debt Sustainability Framework For Low Income Countries
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Author : Mr.Andrew Berg
language : en
Publisher: International Monetary Fund
Release Date : 2014-03-27
Assessing Bias And Accuracy In The World Bank Imf S Debt Sustainability Framework For Low Income Countries written by Mr.Andrew Berg and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-27 with Business & Economics categories.
The World Bank and the IMF have adopted a debt sustainability framework (DSF) to evaluate the risk of debt distress in Low Income Countries (LICs). At the core of the DSF are empirically-based thresholds for each of five different measures of the debt burden (the “debt threshold approach” DTA). The DSF contains a rule for aggregating the information contained in these five different variables which we label the “worst-case aggregator” (WCA) in view of the fact that the DSF considers a breach of any one of the thresholds sufficient to indicate a high risk of debt distress. However, neither the DTA nor the WCA has heretofore been subject to empirical testing. We find that: (1) the DTA loses information relative to a simple proposed alternative; (2) the WCA is too conservative (predicting crises too often) in terms of the loss function used in the DSF; and (3) the WCA is less accurate than some simple proposed alternative aggregators as a predictor of debt distress.
Public Debt Sustainability And Management In A Compound Option Framework
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Author : Mr.Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Public Debt Sustainability And Management In A Compound Option Framework written by Mr.Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-01 with Business & Economics categories.
This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies.
Guidance Note On The Bank Fund Debt Sustainability Framework For Low Income Countries
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Author : International Monetary Fund. Strategy, Policy, & Review Department
language : en
Publisher: International Monetary Fund
Release Date : 2018-02-14
Guidance Note On The Bank Fund Debt Sustainability Framework For Low Income Countries written by International Monetary Fund. Strategy, Policy, & Review Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-14 with Business & Economics categories.
Low-income countries (LICs) face significant challenges in meeting their Sustainable Development Goals (SDGs) while at the same time ensuring that their external debt remains sustainable. In April 2005, the Executive Boards of the International Monetary Fund (IMF) and the International Development Association (IDA) approved the introduction of the Debt Sustainability Framework (DSF), a tool developed jointly by IMF and World Bank staff to conduct public and external debt sustainability analysis in low-income countries. The DSF has since been serving to help guide the borrowing decisions of LICs, provide guidance for creditors’ lending and grant allocation decisions, and improve World Bank and IMF assessments and policy advice. The latest review of the framework was approved by the Executive Boards in September 2017. This introduced reforms to ensure that the DSF remains appropriate for the rapidly changing financing landscape facing LICs and to further improve insights into debt vulnerabilities. This note provides operational and technical guidance on the implementation of the reformed framework.