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Technische Universität Dresden >
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22739
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| Title: | | Country Default Probabilities: Assessing and Backtesting  |
| Authors: | | Vogl, Konstantin Maltritz, Dominik Huschens, Stefan Karmann, Alexander |
| Issue Date: | | 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 |
| Appears in Collections: | | Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden
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