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

Author/Editor:

Christian Keller ; Peter J Kunzel ; Marcos R Souto

Publication Date:

October 1, 2007

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

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.

Series:

Working Paper No. 2007/233

Subject:

Domestic debt External debt Financial statements Foreign exchange Public debt

English

Publication Date:

October 1, 2007

ISBN/ISSN:

9781451867978/1018-5941

Stock No:

WPIEA2007233

Pages:

27

Please address any questions about this title to publications@imf.org