Modelling the riskiness in country risk ratings
Author(s)
Bibliographic Information
Modelling the riskiness in country risk ratings
(Contributions to economic analysis, 273)
Elsevier, 2005
Available at 24 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
Includes bibliographical references and indexes
Description and Table of Contents
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.
Table of Contents
Chapter one: Introduction . 1.1 Country risk. 1.2 Country risk literature. 1.3 Risk ratings and rating systems. 1.4 Risk ratings and risk returns for 120 representative countries. 1.5 Conditional volatility models for risk ratings and risk returns. 1.6 Empirical results. 1.7 Conclusion. Chapter two: Country risk models: An empirical critique. 2.1 Introduction. 2.2 Classification of the data. 2.3 Theoretical and empirical model specifications. 2.4 Empirical findings. 2.5 Conclusion. Appendices to chapter two. 2.1 Description of models. 2.2 Analysis of models. Chapter three: Rating risk rating systems. 3.1 Introduction. 3.2 Risk rating industry. 3.3 Comparison of country risk rating methodologies. 3.4 ICRG country risk ratings 3.5 Conclusion. Chapter four: Assessment of risk ratings and risk returns for 120 representative countries. 4.1 Introduction. 4.2 One-hundred and twenty selected countries. 4.3 Risk ratings, risk returns and volatilities. 4.3.1 Central and South Asia. 4.3.2 East Asia and the Pacific. 4.3.3 East Europe. 4.3.4 Middle East and North Africa. 4.3.5 North and Central America. 4.3.6 South America. 4.3.7 Sub-Saharan Africa. 4.3.8 West Europe. 4.4 Conclusion. Appendix to chapter four. 4.1 ICRG classification of countries by starting date and geographic region. Chapter five: Conditional volatility models for risk ratings and risk returns. 5.1 Introduction. 5.2 Univariate conditional volatility models. 5.3 An asymmetric varma-garch model. 5.4 Conclusion. Chapter six: univariate and multivariate estimates of symmetric and asymmetric. conditional volatilities and conditional correlations for risk returns. 6.1 Introduction and recommendations for foreign investors. 6.2 Univariate models. 6.2.1 Central and South Asia region: garch(1,1) and gjr(1,1) estimates. 6.2.2 East Asia and the Pacific region: garch(1,1) and gjr(1,1) estimates. 6.2.3 East Europe region: garch(1,1) and gjr(1,1) estimates. 6.2.4 Middle East and North Africa region: garch(1,1) and gjr(1,1) estimates. 6.2.5 North and Central America region: garch(1,1) and gjr(1,1) estimates. 6.2.6 South America region: garch(1,1) and gjr(1,1) estimates. 6.2.7 Sub-Saharan Africa region: garch(1,1) and gjr(1,1) estimates. 6.2.8 West Europe region: garch(1,1) and gjr(1,1) estimates. 6.3 Multivariate models: Static conditional correlations. 6.3.1 Central and South Asia region: Static conditional correlation estimates. 6.3.2 East Asia and the Pacific region: static conditional correlation estimates. 6.3.3 East Europe region: static conditional correlation estimates. 6.3.4 Middle East and North Africa region: static conditional correlation estimates. 6.3.5 North and Central America region: Static conditional correlation estimates. 6.3.6 South America region: Static conditional correlation estimates. 6.3.7 Sub-Saharan Africa region: Static conditional correlation estimates. 6.3.8 West Europe: Static conditional correlation estimates. 6.4 Summary: Static conditional correlation estimates. 6.5 Conclusion. Chapter seven: Conclusion. 7.1 Summary of the monograph. 7.2 Future research. 7.2.1 Alternative methods, models and data. 7.2.2 New research directions. 7.3 Conclusion.
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