Doretti, Marco (2012): Modelli di scoring per il rischio paese.

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Abstract
Country risk and sovereign risk are two of the most important topics in risk management. The first part of this work introduces these concepts and shows the differences between them. The following chapters fit linear and ordinal regression models to a dataset with more than 100 countries, where the response variable is an appropriate measure of their creditworthiness. The main purposes are to identify the most relevant explanatory variables and to make predictions for those countries whose response variable is not available. For the second aim it is important to verify that records with missing values are not systematically different from the complete ones: a Little test for the MCAR hypothesis is implemented. About model selection, ad hoc algorithms are used and the theory of reduction, proposed by David Hendry, is also briefly described.
Item Type:  MPRA Paper 

Original Title:  Modelli di scoring per il rischio paese 
English Title:  Scoring models for country risk 
Language:  Italian 
Keywords:  country risk; sovereign risk; rating; MCAR; regression; scoring; 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection 
Item ID:  38898 
Depositing User:  marco doretti 
Date Deposited:  21. May 2012 18:23 
Last Modified:  25. Mar 2015 00:47 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/38898 