ENGLISH

Modelling the Riskiness in Country Risk Ratings: An Empirical Analysis of the Trends and Volatilities in Country Risk Ratings and Risk Returns

By Suhejla Hoti , Michael McAleer

Book information

Publisher
Emerald Group Publishing Limited
Year
2005
ISBN
0444518371, 9780444518378, 9780080458380
ISSN
0573-8555
Open Library ID
OL20652569M
Language
english
Format
PDF
Filesize
9 MB (9198837 bytes)
Series
Contributions to Economic Analysis 273
Pages
507\507
Topic
Medicine
Library
avaxhome.ws
Time added
2010-05-31 15:29:46

Description

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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