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1. Introduction
2. Outline
3. Sovereign defaults: definitions and stylized facts
4. What is sovereign credit risk?
5. Sovereign vs. corporate defaults
6. Cycles of sovereign debt defaults
7. Domestic vs. external debt
8. Domestic vs. external debt defaults (1)
9. Domestic vs. external debt defaults (2)
10. The case of Argentina
11. Maturity of sovereign debt
12. Macroeconomic and debt service indicators
13. Analyze sovereign credit risk
14. What do rating agencies take into consideration?
15. Indicative rating levels
16. Credit spreads and credit ratings (1)
17. Credit spreads and credit ratings (2)
18. The political landscape
19. Economic wealth and growth
20. External position
21. Budget balance (%GDP)
22. Interest expenses on outstanding debt
23. Gross debt-to-GDP ratio
24. Net debt-to-GDP ratio
25. Who holds the debt instruments?
26. Sovereign balance sheet and the financial sector
27. Monetary policy
28. Domestic and external debt rating
29. Debt sustainability studies
30. Debt level dynamics
31. The case study of Hungary
32. Net debt ratio dynamics: a decomposition
33. Long-run assumptions for the optimistic scenario
34. Long-run assumptions for pessimistic scenario
35. The use of sustainability studies
36. Debt intolerance
37. Structural models
38. Modeling credit risk
39. Interpreting credit spreads
40. Risk neutral spreads
41. Risk-neutral vs. "actual" default probability
42. Structural credit risk models
43. Value of the equity and debt
44. A Black-Scholes refresher
45. Probability of default
46. Risk-neutral and actual PD
47. From corporate to sovereign balance sheet
48. The consolidated sovereign balance sheet
49. The contingent claim analysis setting
50. Analytical framework
51. Contingent claim analysis case study (1)
52. Contingent claim analysis case study (2)
53. Lessons
54. References
55. Disclaimer

Topics Covered

• Sovereign defaults
• Sovereign credit risk
• External debt
• Domestic debt
• Sovereign credit rating
• Rating agencies
• Sovereign credit risk analysis
• Debt sustainability study
• Vector Autoregression (VAR)
• Credit default swap (CDS) spread
• Structural credit risk models
• Probability of default
• Contingent claim analysis
• Sovereign balance sheet

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 4, 2012