Optimal prediction rule: an application to debt reschedulings
This paper develops and tests a new model for assessing country credit risk and is called Multivariate Cumulative Sum. This model is dynamic in nature and allows the user to predict early enough a financial distress that could lead to debt rescheduling. The findings suggest that the model is capable of detecting potential debt - repayment difficulties as early as three years in advance. This has serious financing implications, since the lender can have ample time to re-evaluate his investment opportunities towards that country and thus avoid or limit a disastrous financial exposure.
Year of publication: |
1999
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Authors: | Laopodis, Nikiforos |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 31.1999, 1, p. 17-26
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Publisher: |
Taylor & Francis Journals |
Saved in:
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