Country Default Probabilities: Assessing and Backtesting
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.
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| Date of creation: | 2006 |
| Handle: | RePEc:zbw:tuddps:1206 |
| Contact details of provider: | Postal: 01062 Dresden Phone: ++49 351 463 2196 Fax: ++49 351 463 7739 Web page: https://tu-dresden.de/gsw/wirtschaft/?set_language=en Email: More information through EDIRC
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