Value-at-Risk for Country Risk Ratings
AbstractThe country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt servicing obligations, and vice-versa. In this context, it is useful to analyse country risk ratings data, much like financial data, in terms of the time series patterns, as such an analysis provides policy makers and industry stakeholders with a more accurate method of forecasting future changes in the risks and returns associated with country risk ratings.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-659.
Length: 21 pages
Date of creation: Sep 2009
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Other versions of this item:
- Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CARF F-Series CARF-F-169, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2010. "Value-at-Risk for Country Risk Ratings," Working Papers in Economics 10/29, University of Canterbury, Department of Economics and Finance.
- NEP-ALL-2009-09-19 (All new papers)
- NEP-FMK-2009-09-19 (Financial Markets)
- NEP-RMG-2009-09-19 (Risk Management)
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