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

✍ Scribed by Suhejla Hoti, Michael McAleer

• Publisher: Emerald Group Publishing Limited
• Year: 2005
• Tongue: English
• Leaves: 507
• Series: Contributions to Economic Analysis 273
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

copyright......Page 4
table of contents......Page 7
Acknowledgements......Page 11
List of Tables......Page 13
List of Figures......Page 17
1. Introduction......Page 20
2. Country Risk Models: An Empirical Critique......Page 28
3. Rating Risk Rating Systems......Page 111
4. Assessment of Risk Rating and Risk Returns for 120 Representative Countries......Page 129
5. Conditional Volatility Models for Risk Ratings and Risk Returns......Page 354
6. Univariate and Multivariate Estimates of Symmetric and Asymmetric Conditional Volatilities and Conditional Correlations for Risk Returns......Page 365
7. Conclusion......Page 486
Author Index......Page 490
Country Index......Page 494
index......Page 499