Print Email Facebook Twitter Explaining interest rate spreads from a debt sustainability indicator. Title Explaining interest rate spreads from a debt sustainability indicator. Author Boelee, M. Contributor Oosterlee, C.W. (mentor) Van der Schans, M. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Applied mathematics Programme Financial Engineering Date 2015-08-24 Abstract The aim of this MSc project is to investigate whether the dynamics of the interest rate spreads can be explained by a debt sustainability indicator. In this thesis, we evaluate the debt sustainability indicator with a new model. The essence of this model is to produce forecasts for several economic variables, where the government debt is one of them, based on historical data. With the obtained economic forecasts, we can estimate with the indicator the risk of a significant government debt increase in the near future. Subject Debt sustainability To reference this document use: http://resolver.tudelft.nl/uuid:2f790d7c-f7b7-42ab-b3a9-9ddb7b9d73b6 Part of collection Student theses Document type master thesis Rights (c) 2015 Boelee, M. Files PDF MScThesis_final.pdf 4.08 MB Close viewer /islandora/object/uuid:2f790d7c-f7b7-42ab-b3a9-9ddb7b9d73b6/datastream/OBJ/view