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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, 09.
- Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
- Cristina Alina Naftanaila, 2012. "Rating Based on the Country Risk," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(2), pages 126-135, April.
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