GitHub repository: kenrios1993/mixed_panel_logit_default_risk
Description: I use a mixed-effects panel logit model with year-fixed effects and randomized coefficients across countries under L2 regularization to predict unconditional probabilities of sovereign external debt default for out-of-sample years. We combine these predicted probabilities with estimated haircut data to generate a risk score which is interpreted as the unconditional rate of foreign investment loss resulting from default.