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

29 Pages Posted: 28 Nov 2007

See all articles by Christian Keller

Christian Keller

International Monetary Fund (IMF)

Peter Kunzel

International Monetary Fund (IMF)

Marcos Souto

George Washington University - School of Business; International Monetary Fund (IMF)

Date Written: October 2007

Abstract

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.

Keywords: Working Paper, Public debt, Turkey, Credit risk, Economic indicators, Economic models

Suggested Citation

Keller, Christian and Kunzel, Peter and Souto, Marcos, Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach (October 2007). IMF Working Paper No. 07/233, Available at SSRN: https://ssrn.com/abstract=1033213

Christian Keller

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Peter Kunzel

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Marcos Souto

George Washington University - School of Business ( email )

Washington, DC 20052
United States

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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