An overview of StarMine Sovereign Risk Model
StarMine SR utilizes a logistic regression framework to estimate default likelihoods. The model was trained to over 30 years of sovereign credit event data. The data included actual defaults (missed payment), distressed restructurings (debt reissued in less favorable terms), and debt re-schedulings under the auspices of the Paris Club. The primary input drivers of the model are macroeconomic data. Additional market-based and political risk data inputs are also used to generate a comprehensive picture of sovereign risk.
Features & Benefits
What you get with StarMine Sovereign Risk Model
- StarMine SR provides robust estimates of the probability of default of sovereign nations over multiple time horizons using a broad spectrum of data inputs.
- Backtests of trading strategies in the CDS and ﬁxed-income markets using StarMine SR show proﬁtable strategies for forecasting one-month forward CDS price changes and for government bond yield spread changes.
How it works
Accessing the dataset
This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.
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