Analytics,Risk Intelligence,Economic Data

StarMine Sovereign Risk Model

The StarMine Sovereign Risk (SR) model analyzes a comprehensive range of macroeconomic, market-based, and political information to determine the likelihood of a sovereign government defaulting on its debt obligations.
This model provides annualized default probabilities for 150 countries across six different timeframes: 1, 2, 3, 5, 7, and 10 years. These probabilities are then converted into traditional letter grades and ranked to generate percentile scores from 1 to 100.
StarMine SR employs a logistic regression framework to calculate default probabilities. The model has been trained on over three decades of sovereign credit event data, including actual defaults (missed payments), distressed restructurings (debt reissued on less favorable terms), and debt reschedulings facilitated by the Paris Club.
The primary factors driving the model are macroeconomic data, supplemented by market-based and political risk inputs, to provide a thorough assessment of sovereign risk.

FEATURES & BENEFITS

The StarMine Sovereign Risk (SR) model assesses a broad range of macroeconomic, market-based, and political information to gauge the likelihood of a sovereign government defaulting on its debt. This model calculates the annualized default probability for 150 nations across six different time frames: 1, 2, 3, 5, 7, and 10 years. These probabilities are also translated into traditional letter grades and ranked to create percentile scores ranging from 1 to 100.
StarMine SR employs a logistic regression framework to predict the chances of default. The model was trained using over three decades of sovereign credit event data. This data included actual defaults (missed payments), distressed restructurings (debt reissued under less favorable terms), and debt re-schedulings managed by the Paris Club. The main inputs for the model are macroeconomic data, supplemented by market-based and political risk data to provide a holistic view of sovereign risk.