• Media type: E-Book; Report
  • Title: Country Default Probabilities: Assessing and Backtesting
  • Contributor: Vogl, Konstantin [Author]; Maltritz, Dominik [Author]; Huschens, Stefan [Author]; Karmann, Alexander [Author]
  • imprint: Dresden: Technische Universität Dresden, Fakultät Wirtschaftswissenschaften, 2006
  • Language: English
  • Keywords: Länderrisiko ; Schwellenländer ; Default probability ; Sovereign default ; Statistische Verteilung ; Schätzung ; C12 ; Country risk ; Statistischer Test ; F34 ; G33 ; Theorie ; C53 ; Likelihood ratio test
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  • Description: 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.
  • Access State: Open Access