Country Risk Analysis: A Survey of the Quantitative Methods
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 models of country risk analysis.
Volume (Year): 62 (2009)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Via Garibaldi 4, 16124 Genova, Italy|
Phone: +39 010 27041
Fax: +39 010 2704222
Web page: http://www.iei1946.it/it/index.php
More information through EDIRC
References listed on IDEAS
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.:
- 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.
- Oral, Muhittin & Kettani, Ossama & Cosset, Jean-Claude & Daouas, Mohamed, 1992. "An estimation model for country risk rating," International Journal of Forecasting, Elsevier, vol. 8(4), pages 583-593, December.
- Easton, Stephen T. & Rockerbie, Duane W., 1999.
"What's in a default? Lending to LDCs in the face of default risk,"
Journal of Development Economics,
Elsevier, vol. 58(2), pages 319-332, April.
- Easton, S-T & Rockerbie, D-W, 1996. "What's in a Default? Lending to LDCs in the Face of Default Risk," Discussion Papers dp96-06, Department of Economics, Simon Fraser University.
- 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.
- John Cooper, 1999. "Artificial neural networks versus multivariate statistics: An application from economics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 909-921.
- 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, September.
- Suk Hun Lee, 1993. "Relative Importance of Political Instability and Economic Variables on Perceived Country Creditworthiness," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 24(4), pages 801-812, December.
- Pierre Dhonte, 1975. "Describing External Debt Situations: A Roll-over Approach (La description de l'endettement extÃ©rieur: l'approche du refinancement) (La refinanciaciÃ³n y su utilidad para la descripciÃ³n de situacione," IMF Staff Papers, Palgrave Macmillan, vol. 22(1), pages 159-186, March.
- 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 357-369, August.
- Edwards, Sebastian, 1984. "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, American Economic Association, vol. 74(4), pages 726-734, September.
- 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.
- 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.
- Rivoli, Pietra & Brewer, Thomas L., 1997. "Political instability and country risk," Global Finance Journal, Elsevier, vol. 8(2), pages 309-321.
- Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
- Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
- 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.
- Jakob De Haan & Clemens Siermann & Erna Van Lubek, 1997. "Political instability and country risk: new evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 703-707.
- Oetzel, Jennifer M. & Bettis, Richard A. & Zenner, Marc, 2001. "Country risk measures: how risky are they?," Journal of World Business, Elsevier, vol. 36(2), pages 128-145, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0014. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Procopio)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.