Modelling the Riskiness in Country Risk Ratings

By: S. Hoti (Editor), Michael McAleer (Editor)

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Hardcover | 23 April 2005

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Hardcover
516 Pages

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22.86 x 15.24 x 2.54

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The importance of country risk is underscored by the existence of several prominent country risk rating agencies. These agencies combine information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. As the accuracy of such country risk measures is open to question, it is necessary to analyse the agency rating systems to enable an evaluation of the importance and relevance of agency risk ratings. The book focuses on the rating system of the international country risk guide. Time series data permit a comparative assessment of risk ratings for 120 countries, and highlight the importance of economic, financial and political risk ratings as components of a composite risk rating. The book analyses various univariate and multivariate risk returns and corresponding symmetric and asymmetric models of conditional volatility, as well as conditional correlations.

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You Can Find This Book In

Non-Fiction Economics Macroeconomics Society & Social Sciences Accounting & Finance Finance International Economics Econometrics Economic Theory & Philosophy

Introduction
Country risk
Country risk literature
Risk ratings and rating systems
Risk ratings and risk returns for 120 representative countries
Conditional volatility models for risk ratings and risk returns
Empirical results
Conclusion
Country risk models: An empirical critique
Introduction
Classification of the data
Theoretical and empirical model specifications
Empirical findings
Conclusion
Appendices to Chapter 2
Description of models
Analysis of models
Rating risk rating systems
Introduction
Risk rating industry
Comparison of country risk rating methodologies
ICRG country risk ratings
Conclusion
Assessment of risk ratings and risk returns for 120 representative countries
Introduction
One-hundred and twenty selected countries
Risk ratings, risk returns and volatilities
Central and South Asia
East Asia and the Pacific
East Europe
Middle East and North Africa
North and Central America
South America
Sub-Saharan Africa
West Europe
Conclusion
Appendix to Chapter
ICRG classification of countries by starting date and geographic region
Conditional volatility models for risk ratings and risk returns
Introduction
Univariate conditional volatility models
An asymmetric varma-garch model
Conclusion
univariate and multivariate estimates of symmetric and asymmetric
conditional volatilities and conditional correlations for risk returns
Introduction and recommendations for foreign investors
Univariate models
Central and South Asia region: garch(1,1) and gjr(1,1) estimates
East Asia and the Pacific region: garch(1,1) and gjr(1,1) estimates
East Europe region: garch(1,1) and gjr(1,1) estimates
Middle East and North Africa region: garch(1,1) and gjr(1,1) estimates
North and Central America region: garch(1,1) and gjr(1,1) estimates
South America region: garch(1,1) and gjr(1,1) estimates
Sub-Saharan Africa region: garch(1,1) and gjr(1,1) estimates
West Europe region: garch(1,1) and gjr(1,1) estimates
Multivariate models: Static conditional correlations
Central and South Asia region: Static conditional correlation estimates
East Asia and the Pacific region: static conditional correlation estimates
East Europe region: static conditional correlation estimates
Middle East and North Africa region: static conditional correlation estimates
North and Central America region: Static conditional correlation estimates
South America region: Static conditional correlation estimates
Sub-Saharan Africa region: Static conditional correlation estimates
West Europe: Static conditional correlation estimates
Summary: Static conditional correlation estimates
Conclusion
Conclusion
Summary of the monograph
Future research
Alternative methods, models and data
New research directions
Conclusion
Table of Contents provided by Publisher. All Rights Reserved.

Modelling the Riskiness in Country Risk Ratings

At a Glance

Hardcover

Shipping

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