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dc.contributor.authorVogl, Konstantinen_US
dc.contributor.authorMaltritz, Dominiken_US
dc.contributor.authorHuschens, Stefanen_US
dc.contributor.authorKarmann, Alexanderen_US
dc.date.accessioned2009-01-29T15:08:00Z-
dc.date.available2009-01-29T15:08:00Z-
dc.date.issued2006en_US
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_US
dc.language.isoengen_US
dc.relation.ispartofseriesDresden discussion paper in economics 12/06en_US
dc.subject.jelC12en_US
dc.subject.jelG33en_US
dc.subject.jelC53en_US
dc.subject.jelF34en_US
dc.subject.ddc330en_US
dc.subject.keywordSovereign defaulten_US
dc.subject.keywordCountry risken_US
dc.subject.keywordDefault probabilityen_US
dc.subject.keywordLikelihood ratio testen_US
dc.subject.stwLänderrisikoen_US
dc.subject.stwStatistische Verteilungen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchwellenländeren_US
dc.titleCountry Default Probabilities: Assessing and Backtestingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn519713400en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuddps:1206-
Appears in Collections:Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden

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