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Early-Warning Warning Systems in Light of the International Debt Crisis

Author

Listed:
  • Amelung, Torsten
  • Mehltretter, Thorsten

Abstract

The paper analyzes and tests various quantitative models to assess the probability of default of sovereign debt, such as scoring models, univariate analysis as well as logit models.The outcomes of the different models are not at a level that they could be used for forecasting or rating. There are basically two reasons for this. On the one hand, the paper focussed on ability-to-pay, while a some defaults are done at a time, when the willingness-to-pay was the underlying problem. On the other, there are some country specific issues that have not been considered in testing the models.

Suggested Citation

  • Amelung, Torsten & Mehltretter, Thorsten, 1986. "Early-Warning Warning Systems in Light of the International Debt Crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 32(5), pages 257-281.
    • Handle: RePEc:zbw:espost:235689
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    File URL: https://www.econstor.eu/bitstream/10419/235689/1/1986-Amelung-Mehltretter-Early-Warning-Systems-in-Light-of-the-International-Debt-Crisis.pdf
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    Citations

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    Cited by:

    1. Nunnenkamp, Peter & Picht, Hartmut, 1988. "Debt repudiation by developing countries in the 1980s: a cross-country analysis of major determinants," Kiel Working Papers 313, Kiel Institute for the World Economy (IfW Kiel).

    More about this item

    Keywords

    Sovereign Debt; Debt Default Models;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G01 - Financial Economics - - General - - - Financial Crises
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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