A stochastic dominance approach to sovereign risk

Agliardi, E, Agliardi, R, Pinar, Mehmet, Stengos, T and Topaloglou, N (2011) A stochastic dominance approach to sovereign risk. XVIII Conference on Actuarial Risk Theory, 7 September 2011, University of Molise, Campobasso, Italy, pp. 7-20.

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We propose a new method to assess sovereign risk index in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and estimators are computed using mixed integer programming methods. An economic, political and financial risk ranking of emerging countries is obtained. Finally an overall risk index is constructed and one main result is that the financial is the main contributor of sovereign risk in emerging markets followed with political and economic risk.

Item Type: Conference or Workshop Item (Lecture)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Business and Management
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Date Deposited: 23 Oct 2013 14:30
URI: http://repository.edgehill.ac.uk/id/eprint/5801

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