A stochastic dominance approach to sovereign risk

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

Research output: Contribution to conferenceLecture

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 languageEnglish
Pages7-20
Publication statusPublished - 2011
EventXVIII Conference on Actuarial Risk Theory - University of Molise, Campobasso, Italy
Duration: 7 Sep 2011 → …

Conference

ConferenceXVIII Conference on Actuarial Risk Theory
CountryItaly
CityCampobasso
Period7/09/11 → …

Fingerprint

Sovereign risk
Economic risk
Stochastic dominance
Emerging markets
Political risk
Estimator
Mixed integer programming
Financial risk
Consistent test
Test statistic
Ranking
Emerging countries

Cite this

Agliardi, E., Agliardi, R., Pinar, M., Stengos, T., & Topaloglou, N. (2011). A stochastic dominance approach to sovereign risk. 7-20. XVIII Conference on Actuarial Risk Theory, Campobasso, Italy.
Agliardi, E ; Agliardi, R ; Pinar, Mehmet ; Stengos, T ; Topaloglou, N. / A stochastic dominance approach to sovereign risk. XVIII Conference on Actuarial Risk Theory, Campobasso, Italy.
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Agliardi, E, Agliardi, R, Pinar, M, Stengos, T & Topaloglou, N 2011, 'A stochastic dominance approach to sovereign risk' XVIII Conference on Actuarial Risk Theory, Campobasso, Italy, 7/09/11, pp. 7-20.

A stochastic dominance approach to sovereign risk. / Agliardi, E; Agliardi, R; Pinar, Mehmet; Stengos, T; Topaloglou, N.

2011. 7-20 XVIII Conference on Actuarial Risk Theory, Campobasso, Italy.

Research output: Contribution to conferenceLecture

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.

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M3 - Lecture

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ER -

Agliardi E, Agliardi R, Pinar M, Stengos T, Topaloglou N. A stochastic dominance approach to sovereign risk. 2011. XVIII Conference on Actuarial Risk Theory, Campobasso, Italy.