国家违约概率:评估和回溯测试

ERN: Fiscal & Monetary Policy in Developing Economies (Topic) Pub Date : 2007-02-12 DOI:10.2139/ssrn.965701

S. Huschens, A. Karmann, Dominik Maltritz, Konstantin Vogl

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引用次数: 11

摘要

我们解决了如何根据交易债务的市场数据估计主权国家违约概率的问题。将结构默顿模型应用于新兴市场和转型国家的样本。在这种情况下，只有少数和异构的违约概率被推导出来，这对于回溯测试是有问题的。为了解决这个问题，我们构建了似然比检验统计和快速回测程序。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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ERN: Fiscal & Monetary Policy in Developing Economies (Topic)

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