A stochastic dominance approach to sovereign risk

E Agliardi; R Agliardi; Mehmet Pinar; T Stengos; N Topaloglou

A stochastic dominance approach to sovereign risk

E Agliardi, R Agliardi, Mehmet Pinar, T Stengos, N Topaloglou

Business School

Research output: Contribution to conference › Lecture › peer-review

Abstract

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.

Original language	English
Pages	7-20
Publication status	Published - 2011
Event	XVIII Conference on Actuarial Risk Theory - University of Molise, Campobasso, Italy Duration: 7 Sept 2011 → …

Conference

Conference	XVIII Conference on Actuarial Risk Theory
Country/Territory	Italy
City	Campobasso
Period	7/09/11 → …

Cite this

@conference{e4825edd5f45404892914e73ecede883,

title = "A stochastic dominance approach to sovereign risk",

abstract = "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.",

author = "E Agliardi and R Agliardi and Mehmet Pinar and T Stengos and N Topaloglou",

year = "2011",

language = "English",

pages = "7--20",

note = "XVIII Conference on Actuarial Risk Theory ; Conference date: 07-09-2011",

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TY - CONF

T1 - A stochastic dominance approach to sovereign risk

AU - Agliardi, E

AU - Agliardi, R

AU - Pinar, Mehmet

AU - Stengos, T

AU - Topaloglou, N

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

UR - http://www.youcanprint.it/anteprime_libri/badolati_risk_anteprima.pdf

M3 - Lecture

SP - 7

EP - 20

T2 - XVIII Conference on Actuarial Risk Theory

Y2 - 7 September 2011

ER -

A stochastic dominance approach to sovereign risk

Abstract

Conference

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