Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22739
Authors: 
Vogl, Konstantin
Maltritz, Dominik
Huschens, Stefan
Karmann, Alexander
Year of Publication: 
2006
Series/Report no.: 
Dresden discussion paper in economics 12/06
Abstract: 
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.
Subjects: 
Sovereign default
Country risk
Default probability
Likelihood ratio test
JEL: 
C12
G33
C53
F34
Document Type: 
Working Paper

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