We assess Japan’s sovereign credit rating dynamics and its long-term outlook using market implied and fundamental rating models. Japan’s recent market-implied ratings, which are based on government bond prices and Credit Default Swap (CDS) spreads, have outperformed actual ratings and this...

This paper aims to contribute to the ESM's capacity to monitor sovereign vulnerabilities in the EFSF/ESM programme countries. The purpose is to early identify a build-up of sovereign vulnerabilities, which may threaten countries' repayment capacity. The assessment is based on a wide set of...

This paper aims to contribute to the ESM's capacity to monitor sovereign vulnerabilities in the EFSF/ESM programme countries. The purpose is to early identify a build-up of sovereign vulnerabilities, which may threaten countries' repayment capacity. The assessment is based on a wide set of...

We develop a model of debt sustainability analysis with optimal financing decisions in the presence of macroeconomic, financial and fiscal uncertainty. We define a coherent measure of refinancing risk, and trade off the risks of debt stock and flow dynamics, subject to debt sustainability...

We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade off debt stock and flow risks subject to sustainability constraints. We optimize static and...