Sovereign states issue fixed and floating securities to fund their public debt. The value of
such portfolios strongly depends on the fluctuations of the term structure of interest rates …

Debt restructuring is one of the policy tools available for resolving sovereign debt crises and,
while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability …

This papers makes the case for sovereigns to issue state-contingent convertible bonds
(abbreviated S-CoCo) as a means to forestall debt crises. This is a financial innovation …

Governments borrow funds to finance the excess of cash payments or interest payments
over receipts, usually by issuing fixed income debt and index-linked debt. The goal of this …

Scenario tree generation methods are powerful decision-making tools when decisions have
to be made under uncertainty. Instead of giving a point estimation of multivariate random …

Many risk-neutral pricing problems proposed in the finance literature do not admit closed-
form expressions and have to be dealt with by solving the corresponding partial integro …

We consider convertible bonds that contractually stipulate payment standstill, contingent on
a market indicator of a sovereign's credit worthiness breaching a distress threshold. This …

Purpose–This paper aims to use a risk management approach for re-profiling of sovereign
debt. It develops profiles that trade off expected cost of financing alternative debt structures …

We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-
liability management (ALM) model which is specified with an asset universe including …

​ Against the background of the financial-cum-sovereign debt crisis, government debt
managers are currently faced by a challenging environment. One key element in that respect …