Risk Management for Sustainable Sovereign Debt Financing

DOI10.1287/OPRE.2020.2055zbMath1471.91520OpenAlexW3121302808MaRDI QIDQ5003712

Marialena Athanasopoulou, Andrea Consiglio, Aitor Erce, Edmund Moshammer, Angel Gavilan, Stavros A. Zenios

Publication date: 29 July 2021

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2020.2055

zbMATH Keywords

uncertaintyportfolio optimizationrisk managementsovereign debttail riskdebt sustainability analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• Gambling for redemption and self-fulfilling debt crises
• Sovereign default: the role of expectations
• A stochastic programming model for the optimal issuance of government bonds
• A multi-objective multi-period stochastic programming model for public debt management
• Coherent Measures of Risk
• Introduction to Stochastic Programming
• Fiscal Policy with Noncontingent Debt and the Optimal Maturity Structure
• Self-Fulfilling Debt Crises
• A parsimonious model for generating arbitrage-free scenario trees

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