彭博主权风险模型

Lili Cai, Harvey J. Stein
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引用次数: 0

摘要

彭博主权风险函数(SRSK)提供了主权实体违约概率(DP)期限结构的定量估计。SRSK模型最后一次更新是在2017年6月。今年我们对模型进行了审核和修改。本白皮书记录了新更新的DP模型,并分析了其性能。
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SRSK - The Bloomberg Sovereign Risk Model
The Bloomberg sovereign risk function (SRSK) provides quantitative estimates of a sovereign entity's default probability (DP) term structure. The SRSK model was last updated in June 2017. This year we have reviewed and revised the model. This white paper documents the newly updated DP model and analyzes its performance.
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