Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach
October 1, 2007
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Summary
Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006 market turbulence. This paper examines these changes in Turkey's risk profile using the Contingent Claims Approach (CCA), to quantify the evolution of Turkey's sovereign risk, relate risk indicators to market prices of risk, and conduct scenario analyses to assess the effects of potential market volatility and policy adjustments on key risk indicators.
Subject: Domestic debt, External debt, Financial statements, Foreign exchange, Public debt
Keywords: asset, balance sheet, debt, value, WP
Pages:
27
Volume:
2007
DOI:
Issue:
233
Series:
Working Paper No. 2007/233
Stock No:
WPIEA2007233
ISBN:
9781451867978
ISSN:
1018-5941
