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Stima della probabilità di insolvenza nei mercati emergenti

Author

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  • Stefania Ciraolo

    (Università di Verona)

Abstract

Questo articolo propone una metodologia per stimare e prevedere la probabilità di insolvenza implicita nei prezzi di obbligazioni emesse da paesi emergenti. Per la stima si utilizza un modello in forma ridotta, mentre per la previsione si sviluppa un modello logit. L'analisi empirica utilizza dati settimanali 1997-2001) per Argentina, Messico, Corea, Russia, Turchia. L'applicazione della metodologia fornisce valutazioni attendibili della probabilità di insolvenza ed anticipa correttamente eventi di downgrading/upgrading. Mediante simulazioni di portafoglio si dimostra che strategie di trading basate sulle previsioni del modello conseguono profitti superiori ai benchmark di mercato e potrebbero quindi essere utilmente applicabili a fini operativi.

Suggested Citation

  • Stefania Ciraolo, 2001. "Stima della probabilità di insolvenza nei mercati emergenti," Rivista di Politica Economica, SIPI Spa, vol. 91(9), pages 121-144, November-.
    • Handle: RePEc:rpo:ripoec:v:91:y:2001:i:9:p:121-144
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    More about this item

    JEL classification:

    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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