Value-at-Risk for Country Risk Ratings
The 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.
|Date of creation:||Sep 2009|
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- Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
- Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
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