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.

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Year of publication:	2006
Authors:	Vogl, Konstantin ; Maltritz, Dominik ; Huschens, Stefan ; Karmann, Alexander
Publisher:	Dresden : Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Subject:	Länderrisiko \| Statistische Verteilung \| Statistischer Test \| Schätzung \| Theorie \| Schwellenländer \| Sovereign default \| Country risk \| Default probability \| Likelihood ratio test

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Series:	Dresden Discussion Paper Series in Economics ; 12/06
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	519713400 [GVK] hdl:10419/22739 [Handle] RePEc:zbw:tuddps:1206 [RePEc]
Classification:	C12 - Hypothesis Testing ; G33 - Bankruptcy; Liquidation ; C53 - Forecasting and Other Model Applications ; F34 - International Lending and Debt Problems
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296810