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Quantifizierung von Souveränrisiken
Maltritz, Dominik - 2006
Persistent link: https://www.econbiz.de/10003336000
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Sovereign risk indices and Bayesian theory averaging
Lenkoski, Alex; Aanes, Fredrik L. - In: Econometrics : open access journal 8 (2020) 2/22, pp. 1-24
theories are imperfectly captured quantitatively. A number of different proxies are often collected for a given theory and the … generalizability of the theory index our framework assumes a collection of outcome equations. We accommodate a flexible set of … occurs on the outcome level, allowing for theories to be differentially valid. Our focus is on creating a set of theory …
Persistent link: https://www.econbiz.de/10012265454
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Sovereign credit ratings in the European Union : a model-based fiscal analysis
Polito, Vito; Wickens, Michael R. - 2013
Persistent link: https://www.econbiz.de/10010193258
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Systemic bias of IMF reserve and debt forecasts for program countries
Eicher, Theo S.; Kawai, Reina - In: International journal of forecasting 40 (2024) 3, pp. 985-1001
Persistent link: https://www.econbiz.de/10014547232
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Predicting Sovereign Debt Crises
Schimmelpfennig, Axel - 2003
We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor''s, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive...
Persistent link: https://www.econbiz.de/10014403985
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Predicting winners in civil wars
Haber, Stephen H.; Mitchener, Kris; Oosterlinck, Kim; … - 2014
Persistent link: https://www.econbiz.de/10010409064
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Nationale Verschuldungsfähigkeit : eine strategische Analyse am Beispiel hochverschuldeter Länder
Mack, Eduard - 1997
Persistent link: https://www.econbiz.de/10001365867
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Forecasting sovereign default risk with Merton's model
Duyvesteyn, Johan; Martens, Martin - In: The journal of fixed income 25 (2015) 2, pp. 58-71
Persistent link: https://www.econbiz.de/10011399885
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Multidimensional distance-to-collapse point and sovereign default prediction
Savona, Roberto; Vezzoli, Marika - In: Intelligent systems in accounting finance and … 19 (2012) 4, pp. 205-228
Persistent link: https://www.econbiz.de/10009703327
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Forecasting Sovereign Default risk with Merton’s Model
Duyvesteyn, Johan G. - 2016
Merton's structural model for sovereigns is proven to be useful to analyze the default risk of a country. We are the first to investigate how fast CDS spreads react to changes in model inputs and outputs. CDS spread changes strongly correlate with exchange rate returns, which are an input to the...
Persistent link: https://www.econbiz.de/10013008626