{"title":"彭博主权风险模型","authors":"Lili Cai, Harvey J. Stein","doi":"10.2139/ssrn.3911338","DOIUrl":null,"url":null,"abstract":"The Bloomberg sovereign risk function (SRSK) provides quantitative estimates of a sovereign entity's default probability (DP) term structure. The SRSK model was last updated in June 2017. This year we have reviewed and revised the model. This white paper documents the newly updated DP model and analyzes its performance.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"SRSK - The Bloomberg Sovereign Risk Model\",\"authors\":\"Lili Cai, Harvey J. Stein\",\"doi\":\"10.2139/ssrn.3911338\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Bloomberg sovereign risk function (SRSK) provides quantitative estimates of a sovereign entity's default probability (DP) term structure. The SRSK model was last updated in June 2017. This year we have reviewed and revised the model. This white paper documents the newly updated DP model and analyzes its performance.\",\"PeriodicalId\":11410,\"journal\":{\"name\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3911338\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Capital Markets - Risk eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3911338","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Bloomberg sovereign risk function (SRSK) provides quantitative estimates of a sovereign entity's default probability (DP) term structure. The SRSK model was last updated in June 2017. This year we have reviewed and revised the model. This white paper documents the newly updated DP model and analyzes its performance.
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