Modelli di scoring per il rischio paese
[Scoring models for country risk]
AbstractCountry risk and sovereign risk are two of the most important topics in risk management. The first part of this work introduces these concepts and shows the differences between them. The following chapters fit linear and ordinal regression models to a data-set with more than 100 countries, where the response variable is an appropriate measure of their creditworthiness. The main purposes are to identify the most relevant explanatory variables and to make predictions for those countries whose response variable is not available. For the second aim it is important to verify that records with missing values are not systematically different from the complete ones: a Little test for the MCAR hypothesis is implemented. About model selection, ad hoc algorithms are used and the theory of reduction, proposed by David Hendry, is also briefly described.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 38898.
Date of creation: 14 Feb 2012
Date of revision:
country risk; sovereign risk; rating; MCAR; regression; scoring;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
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