{"slug":"sovereign-stress","name":"Sovereign stress","family":"Sovereign risk","status":"active","estimate":"A logistic score for a sovereign credit event within three years, using lagged public fiscal, external, monetary, and growth features.","page":"/sovereign/stress","implementation":{"enginePaths":["engine/finweave_engine/layers/sovereign_stress.py"],"producerPath":"scripts/build/build_sovereign_stress.py","outputs":["data/parquet/sovereign_stress.parquet","data/parquet/sovereign_stress_eval.parquet","data/parquet/sovereign_stress_coefficients.parquet","data/parquet/sovereign_stress_univariate.parquet","data/parquet/sovereign_stress_experiment.parquet"]},"methodology":[{"path":"engine/finweave_engine/layers/sovereign_stress.py","lines":[240,285],"note":"fit_logistic() fits the design columns, and predict() maps the intercept plus economic and missing-indicator terms to a score."},{"path":"scripts/build/build_sovereign_stress.py","lines":[255,299],"note":"Writes the score, evaluation, coefficient, univariate, and natural-experiment outputs."},{"path":"docs/sovereign_methodology.md","lines":[71,79],"note":"Documents the live coefficient surface and the interpretation of economic and missingness terms."},{"path":"src/components/sovereignStress/data.ts","lines":[95,102],"note":"Queries the stored coefficient parquet for the live sovereign-methodology table."}],"data":{"vintage":"10,452 country-year scores for 237 economies from 1980 through 2024, with 17 stored coefficients, measured 2026-08-30","tables":["data/parquet/sovereign_stress.parquet","data/parquet/sovereign_stress_eval.parquet","data/parquet/sovereign_stress_coefficients.parquet","data/parquet/sovereign_stress_univariate.parquet","data/parquet/sovereign_stress_experiment.parquet"],"sources":[{"label":"Global Macro Database, release 2026_06","url":"https://www.globalmacrodata.com/"},{"label":"World Bank, total reserves including gold (FI.RES.TOTL.CD)","url":"https://data.worldbank.org/indicator/FI.RES.TOTL.CD"},{"label":"Bank of Canada and Bank of England, Sovereign Default Database, 2025 edition","url":"https://doi.org/10.34989/san-2025-24"},{"label":"OECD, Country Risk Classifications of the Participants to the Arrangement on Officially Supported Export Credits","url":"https://www.oecd.org/en/topics/sub-issues/export-credits/country-risk-classification.html"}]},"method":["The target is a sovereign default or distressed restructuring beginning in the model year or following two years. Fiscal, external, monetary, and growth features are observed with a lag; each economic term is winsorized on its training fold, median-imputed, standardized, and paired with a missing-indicator term.","The 17-term coefficient artifact contains the intercept, eight standardized economic-feature weights, and eight missing-indicator weights. A missing-indicator term activates when the underlying observation is absent, so the score can move because a country did not report a figure. Those terms remain visible on /sovereign/methodology through stressCoefficients(); no coefficient values are copied into this registry.","The score surface is /sovereign/stress, while /sovereign/methodology publishes the live coefficient groups. Both pages read the model artifacts rather than registry-copied weights."],"equations":[{"label":"Linear predictor","expr":"z = X @ beta + intercept"},{"label":"Sovereign stress score","expr":"score = 1 / (1 + exp(-z))"}],"validation":["The main output contains 10,452 observations for 237 economies from 1980 through 2024, and the coefficient output contains 17 rows.","The producer publishes blocked walk-forward, natural-experiment, alternative-threshold, at-risk, and OECD-comparison results rather than selecting only favorable tests.","The debt/GDP-only benchmark is stronger in every stored debt-ratio comparison. On the separate OECD Country Risk Classification subset, the model's small edge is treated as effectively a tie rather than a broad win."],"limitations":["The training crisis labels end in 2017, and 2020s defaults are absent from training. The natural experiment tests that limitation but does not repair it.","The CRAG event rule misses small defaults relative to GDP, including Ethiopia's 2023 Eurobond default, and should not be special-cased after the fact.","Missingness is predictive in this fitted model. Users must distinguish a missing-indicator contribution from a deterioration in a reported economic value.","This is a conditional public-data model score, not a credit rating, market price, or event forecast for a named country."],"references":[{"citation":"FinObservatory sovereign stress score and evaluation.","url":"/sovereign/stress"},{"citation":"FinObservatory sovereign methodology with live model coefficients.","url":"/sovereign/methodology"},{"citation":"Müller, Xu, Lehbib, and Chen (2025), The Global Macro Database, NBER Working Paper 33714.","url":"https://www.nber.org/papers/w33714"}],"endpoints":[{"path":"/api/methods/[slug]","example":"/api/methods/sovereign-stress","method":"GET","returns":"Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents."}],"lastVerified":"2026-08-30"}