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.
|Title of host publication||Not Known|
|Publication status||Published - 2012|
|Event||XVIII Conference on Actuarial Risk Theory - University of Molise, Campobasso, Italy|
Duration: 7 Sep 2011 → …
|Conference||XVIII Conference on Actuarial Risk Theory|
|Period||7/09/11 → …|
Agliardi, E., Agliardi, R., Pinar, M., Stengos, T., & Topaloglou, N. (2012). A stochastic dominance approach to sovereign risk. In Not Known (pp. 7-20) http://www.youcanprint.it/anteprime_libri/badolati_risk_anteprima.pdf