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A non-Gaussian approach to risk measures

✍ Scribed by Giacomo Bormetti; Enrica Cisana; Guido Montagna; Oreste Nicrosini

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
422 KB
Volume
376
Category
Article
ISSN
0378-4371

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## Abstract We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings‐implied expected loss. We compare our measure of expected loss from sovereign defaults with st