Arbeitspapier
Country Default Probabilities: Assessing and Backtesting
We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are derived, which is problematic for backtesting. To deal with this problem, we construct likelihood ratio test statistics and quick backtesting procedures.
- Sprache
-
Englisch
- Erschienen in
-
Series: Dresden Discussion Paper Series in Economics ; No. 12/06
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Bankruptcy; Liquidation
Forecasting Models; Simulation Methods
International Lending and Debt Problems
- Thema
-
Sovereign default
Country risk
Default probability
Likelihood ratio test
Länderrisiko
Statistische Verteilung
Statistischer Test
Schätzung
Theorie
Schwellenländer
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vogl, Konstantin
Maltritz, Dominik
Huschens, Stefan
Karmann, Alexander
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
- (wo)
-
Dresden
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vogl, Konstantin
- Maltritz, Dominik
- Huschens, Stefan
- Karmann, Alexander
- Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Entstanden
- 2006
Ähnliche Objekte (12)
Default probabilities and default correlations
Estimating probabilities of default
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimation of default probabilities with Support Vector Machines
Estimating probabilities of default with support vector machines
Impact of macro shocks on sovereign default probabilities
Estimating probabilities of default with support vector machines
Assessing the Estimation Uncertainty of Default Probabilities
Assessing the Estimation Uncertainty of Default Probabilities
Country Default Risk: An Empirical Assessment
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Default probabilities and default correlations
Estimating probabilities of default
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimation of default probabilities with Support Vector Machines
Estimating probabilities of default with support vector machines
Impact of macro shocks on sovereign default probabilities
Estimating probabilities of default with support vector machines
Assessing the Estimation Uncertainty of Default Probabilities
Assessing the Estimation Uncertainty of Default Probabilities
Country Default Risk: An Empirical Assessment
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Default probabilities and default correlations
Estimating probabilities of default
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimation of default probabilities with Support Vector Machines
Estimating probabilities of default with support vector machines
Impact of macro shocks on sovereign default probabilities
Estimating probabilities of default with support vector machines
Assessing the Estimation Uncertainty of Default Probabilities
Assessing the Estimation Uncertainty of Default Probabilities
Country Default Risk: An Empirical Assessment