• Innovations and Reviews in Risk Management for Sovereign Institutions
• 63 min
  1. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 61 min
  2. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 85 min
  3. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1

  • Prof. William Ziemba
• 52 min
  4. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 2

  • Prof. William Ziemba
• 50 min
  5. Applications of stochastic optimization to sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 54 min
  6. Applications of stochastic optimization to sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 51 min
  7. Risk management techniques in emerging markets

  • Mr. George R. Hoguet
• Stress Testing for Sovereign Institutions
• 70 min
  8. Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis

  • Dr. Alexey Lobanov
• Risk Management at the Government Level
• 60 min
  9. Sovereign credit risk assessment: from traditional indicators to the contingent claim approach

  • Dr. Adam Kobor
• Risk Management for Central Banks
• 29 min
  10. Central bank asset allocation

  • Dr. Stephen Fisher
• 34 min
  11. Combating intervention risk

  • Dr. Stephen Fisher
• Risk Management for Ministries of Finance
• 38 min
  12. Models for risk aggregation and sensitivity analysis: an application to bank economic capital

  • Dr. Michael Jacobs
• 39 min
  13. Quantitative measurement and management of liquidity risk in a banking context

  • Dr. Michael Jacobs
• Risk Management for National Pension Funds
• 79 min
  14. A dynamic stochastic pension fund model 1

  • Prof. William Ziemba
• 55 min
  15. A dynamic stochastic pension fund model 2

  • Prof. William Ziemba
• 52 min
  16. The Swiss occupational pension system

  • Dr. Werner Nussbaum

Printable Handouts

PDF

Navigable Slide Index

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