Economics, Econometrics and Finance
3 years ago

Newly Updated Bloomberg Model Predicts Sovereign Default Probabilities with Accuracy.

SSRN Electronic Journal
SRSK - The Bloomberg Sovereign Risk Model
Cai Lili, Harvey J. Stein

Paper Summary

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The SRSK model by Bloomberg estimates the likelihood of a country defaulting on its debts. It was last updated in June 2017, and has now been reviewed and revised. The new model is documented in a white paper, which also looks at how well it performs.