DefaultRisk.com the web's biggest credit risk modeling resource. |  |
|
|
| Country Default Probabilities: Assessing and Backtesting by Stefan Huschens of the Technische Universität Dresden, September 1, 2006 Abstract: 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. Keywords: Sovereign default, Country risk, Default probability, Likelihood ratio test, Backtesting. Books Referenced in this paper: (what is this?)
|
