Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach

By Christian Keller, Peter J Kunzel, Marcos R Souto

October 1, 2007

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Format: Chicago

Christian Keller, Peter J Kunzel, and Marcos R Souto. Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach, (USA: International Monetary Fund, 2007) accessed November 8, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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

Publication Details

Pages:

27
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/233
Stock No:

WPIEA2007233
ISBN:

9781451867978
ISSN:

1018-5941

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