Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/169317
Authors: 
Brière, Marie
Ferrarini, Benno
Ramayandi, Arief
Year of Publication: 
2016
Series/Report no.: 
ADB Economics Working Paper Series 486
Abstract: 
Contingent claims analysis applied to Indonesia, Malaysia, the Philippines, the Republic of Korea, and Thailand shows no particular vulnerability to sovereign debt distress during recent years. However, the highly volatile "distance to distress" measure suggests that any of these countries may fall victim to a sudden loss in market confidence. For example, the value of Indonesia's sovereign assets dropped to just two standard deviations above its repayment obligations during the 2013 Fed taper tantrum, causing capital outflows and currency depreciation. Generally, we find that contingent claims analysis and market-based risk measures well complement conventional debt sustainability analysis for Asia.
Subjects: 
contingent claims analysis
public debt sustainability
JEL: 
E60
F34
G13
H63
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/igo/
Document Type: 
Working Paper

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