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Modelli di scoring per il rischio paese
[Scoring models for country risk]

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Author Info

  • Doretti, Marco

Abstract

Country 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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File URL: http://mpra.ub.uni-muenchen.de/38898/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 38898.

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Date of creation: 14 Feb 2012
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Handle: RePEc:pra:mprapa:38898

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Related research

Keywords: country risk; sovereign risk; rating; MCAR; regression; scoring;

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  1. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
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