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«Tехнический» метод оценки вероятности суверенных дефолтов // “Technical” method for estimating the probability of sovereign defaults

Author

Listed:
  • E. Balatsky V.
  • Е. Балацкий В.

    (Финансовый университет при Правительстве Российской Федерации)

Abstract

The article discusses a simple method for estimating the probability of sovereign default function based on the determination of the key factors for the assessment of default and their weighting factors according to the statistics for the group of countries which past history contains the event. Pilot calculations are implemented for identifying the specified default functions for the two groups of countries - Ecuador, Argentina, Mexico and Thailand, South Korea and Russia. On the basis of these estimates specifics of defaults are revealed in the different regions of the world and in every country within these regions. The generalization of the proposed method is drafted for carrying out a large-scale applied research. В статье рассматривается простой метод оценки функции вероятности суверенного дефолта, основанный на определении ключевых факторов дефолта и оценке для них весовых коэффициентов по статистическим данным для группы стран, переживших в своей истории данное событие. Осуществлены пилотные расчеты по идентификации указанной функции дефолта для двух групп стран - Эквадора, Аргентины, Мексики и Таиланда, Южной Кореи, России. На основе полученных оценок раскрывается специфика дефолтов в разных регионах мира и в каждой стране внутри данных регионов. Намечено обобщение предложенного метода для проведения более масштабных прикладных исследований.

Suggested Citation

  • E. Balatsky V. & Е. Балацкий В., 2016. "«Tехнический» метод оценки вероятности суверенных дефолтов // “Technical” method for estimating the probability of sovereign defaults," Мир новой экономики // The world of new economy, Финансовый университет при Правительстве Российской Федерации // Financial University under The Governtment оf The Russian Federation, issue 3, pages 48-61.
    • Handle: RePEc:scn:wnewec:y:2016:i:3:p:48-61
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