“Technical” method for estimating the probability of sovereign defaults

• Main Author: E. V. Balatsky
• Format: Article
• Language: Russian
• Published: Government of the Russian Federation, Financial University 2018-04-01
• Series: Мир новой экономики
• Subjects: sovereign default risk; financial stability; bankruptcy; foreign debt; government bonds
• Online Access: https://wne.fa.ru/jour/article/view/81

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.