Country default probabilities: assessing and backtesting
Copyright policy )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. JEL-Classification: C12; C53; F34; G33
Statistischer Test, ddc:330, Sovereign default, Statistische Verteilung, Sovereign default,Country risk,Default probability,Likelihood ratio test, Likelihood ratio test, Schwellenländer, Default probability, Country risk, G33, F34, C53, Länderrisiko, Theorie, C12, Schätzung, jel: jel:C53, jel: jel:C12, jel: jel:G33, jel: jel:F34
Statistischer Test, ddc:330, Sovereign default, Statistische Verteilung, Sovereign default,Country risk,Default probability,Likelihood ratio test, Likelihood ratio test, Schwellenländer, Default probability, Country risk, G33, F34, C53, Länderrisiko, Theorie, C12, Schätzung, jel: jel:C53, jel: jel:C12, jel: jel:G33, jel: jel:F34
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