Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22739 
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dc.contributor.authorVogl, Konstantinen
dc.contributor.authorMaltritz, Dominiken
dc.contributor.authorHuschens, Stefanen
dc.contributor.authorKarmann, Alexanderen
dc.date.accessioned2009-01-29T15:08:00Z-
dc.date.available2009-01-29T15:08:00Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/22739-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresdenen
dc.relation.ispartofseries|aDresden Discussion Paper Series in Economics |x12/06en
dc.subject.jelC12en
dc.subject.jelG33en
dc.subject.jelC53en
dc.subject.jelF34en
dc.subject.ddc330en
dc.subject.keywordSovereign defaulten
dc.subject.keywordCountry risken
dc.subject.keywordDefault probabilityen
dc.subject.keywordLikelihood ratio testen
dc.subject.stwLänderrisikoen
dc.subject.stwStatistische Verteilungen
dc.subject.stwStatistischer Testen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwSchwellenländeren
dc.titleCountry Default Probabilities: Assessing and Backtesting-
dc.typeWorking Paperen
dc.identifier.ppn519713400en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuddps:1206en

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