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StarMine Sovereign Risk Model

An overview of StarMine Sovereign Risk Model 

The StarMine Sovereign Risk (SR) model evaluates a wide array of macroeconomic, market-based, and political data to estimate the probability that a sovereign government will default on its debt. The model produces estimates of the annualized probability of default for 150 countries at six-time horizons: 1, 2, 3, 5, 7, and 10 years. The default probabilities are also mapped to traditional letter grades and ranked to produce 1-100 percentile scores.
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.

Key facts 

  • Data format
    HTML
  • Delivery mechanism
    API
    Desktop
    Website
  • Publishing frequency
    Daily

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.

Eikon

Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets – delivered in an elegant and intuitive desktop and mobile interface.
Data Formats:
HTML
Delivery Mechanisms:
Website
API
Desktop
Publishing Frequencies:
Daily

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Americas
All countries (toll free): +1 800 427 7570
Brazil: +55 11 47009629
Argentina: +54 11 53546700
Chile: +56 2 24838932
Mexico: +52 55 80005740
Colombia: +57 1 4419404

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180 014 410 639 (PLDT)
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+65 6415 5484
Taiwan: +886 2 7734 4677
Thailand & Laos: +662 844 9576

 

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