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Country Risk Analysis: A Survey of the Quantitative Methods

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Author Info
Hiranya K. Nath () (Department of Economics and International Business, Sam Houston State University)

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Abstract

With globalization and financial integration, there has been rapid growth of international lending and foreign direct investment (FDI). In view of this emerging trend, country risk analysis has become extremely important for the international creditors and investors. This paper briefly discusses the concepts and definitions, and presents a survey of the quantitative methods that are used to address various issues related to country risk. It also gives a summary review of selected empirical studies that use these techniques. While these studies display a distinct chronological pattern of gradual improvements in terms of technique and analytical competence none of them is adequate in terms of its scope and coverage. This paper also notes that in view of changing global economic and financial environment, greater availability of quantitative data, and enhanced computing capacity, the researchers should focus on the possibility of applying better techniques to more extensive model of country risk analysis.

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Paper provided by Sam Houston State University, Department of Economics and International Business in its series Working Papers with number 0804.

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Handle: RePEc:shs:wpaper:0804

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  1. Suk Hun Lee, 1993. "Relative Importance of Political Instability and Economic Variables on Perceived Country Creditworthiness," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 24(4), pages 801-812, December. [Downloadable!] (restricted)
  2. Lanoie, Paul & Lemarbre, Sylvain, 1996. "Three Approaches to Predict the Timing and Quantity of LDC Debt Rescheduling," Applied Economics, Taylor and Francis Journals, vol. 28(2), pages 241-46, February. [Downloadable!] (restricted)
  3. Balkan, Erol M, 1992. "Political Instability, Country Risk and Probability of Default," Applied Economics, Taylor and Francis Journals, vol. 24(9), pages 999-1008, September.
  4. Feder, Gershon & Just, Richard E., 1977. "A study of debt servicing capacity applying logit analysis," Journal of Development Economics, Elsevier, vol. 4(1), pages 25-38, February. [Downloadable!] (restricted)
  5. John C. B. Cooper, 1999. "Artificial neural networks versus multivariate statistics: an application from economics," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 909-921, December. [Downloadable!] (restricted)
  6. Hernandez-Trillo, Fausto, 1995. "A model-based estimation of the probability of default in sovereign credit markets," Journal of Development Economics, Elsevier, vol. 46(1), pages 163-179, February. [Downloadable!] (restricted)
  7. Lloyd-Ellis, H. & McKenzie, G. W. & Thomas, S. H., 1990. "Predicting the quantity of LDC debt rescheduling," Economics Letters, Elsevier, vol. 32(1), pages 67-73, January. [Downloadable!] (restricted)
  8. de Haan, Jakob & Siermann, Clemens L J & van Lubek, Erna, 1997. "Political Instability and Country Risk: New Evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 4(11), pages 703-07, November. [Downloadable!] (restricted)
  9. Kutty, Gopalan, 1990. "Logistic Regression and Probability of Default of Developing Countries Debt," Applied Economics, Taylor and Francis Journals, vol. 22(12), pages 1649-60, December.
  10. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York. [Downloadable!]
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  11. Frank, Charles Jr. & Cline, William R., 1971. "Measurement of debt servicing capacity: An application of discriminant analysis," Journal of International Economics, Elsevier, vol. 1(3), pages 327-344, August. [Downloadable!] (restricted)
  12. Brewer, Thomas L & Rivoli, Pietra, 1990. "Politics and Perceived Country Creditworthiness in International Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 357-69, August. [Downloadable!] (restricted)
  13. Saini, Krishan G. & Bates, Philip S., 1984. "A survey of the quantitative approaches to country risk analysis," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 341-356, June. [Downloadable!] (restricted)
  14. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Blackwell Publishing, vol. 18(4), pages 539-588, 09. [Downloadable!] (restricted)
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