A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance

Elettra Agliardi, Mehmet Pinar and Thanasis Stengos

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We propose a new method to assess sovereign risk index in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. The ranking of countries is performed together with an analysis of fiscal and external trade risk.

Keywords: Nonparametric Stochastic Dominance, Mixed Integer Programming; Sovereign Risk; Eurozone (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C15 G01 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-cba, nep-eec and nep-ore
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http://www.rcea.org/RePEc/pdf/wp58_13.pdf (application/pdf)

Related works:
Journal Article: A sovereign risk index for the Eurozone based on stochastic dominance (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:58_13

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