Buch, Englisch, 512 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 933 g
Buch, Englisch, 512 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 933 g
ISBN: 978-0-444-51837-8
Verlag: Elsevier Science Ltd
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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Weitere Infos & Material
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.
