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Measuring Sovereign Risk in Turkey :, An Application of the Contingent Claims Approach, Christian Keller, Peter Kunzel, Marcos Souto

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
Table Of Contents
Contents; I. Introduction; II. Overview of key balance sheet developments since the 2001 crisis; III. CCA Methodology; IV. Baseline Results for the Sovereign; A. External Risk Profile; B. Domestic Risk Profile; V. Capital Market Turbulence and Policy Adjustments; A. Effects of changes in key variables on risk indicators; B. Scenario Analysis; VI. Conclusion; References; Annex I; Annex II
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (29 p.)
Specific Material Designation
Form Of Item

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