Resource title

Country Default Probabilities: Assessing and Backtesting

Resource image

image for OpenScout resource :: Country Default Probabilities: Assessing and Backtesting

Resource 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.

Resource author

Konstantin Vogl, Dominik Maltritz, Stefan Huschens, Alexander Karmann

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22739

Resource license

Adapt according to the presented license agreement and reference the original author.