Statistical investigations - drawing it all together

The author's approach to teaching an integrative unit to a small group of master’s level Applied Statistics students in 2000-2001 is described. Details of the various activities such as data analysis, reading and discussion of papers, and training in consultancy skills are given, as also are details of the assessment. The students’ and lecturer’s views of the unit are discussed.

Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings

This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of macroeconomic and political variables. The estimated probabilities are then compared with the default rates implied by sovereign credit ratings of three major international credit rating agencies (CRAs) – Moody's Investor's Service, Standard & Poor's and Fitch Ratings. Sovereign debt default probabilities are used by investors in pricing sovereign bonds and loans as well as in determining country risk exposure. The study finds that CRAs usually underestimate the risk of sovereign debt as the sovereign credit ratings from rating agencies are usually too optimistic.