Modelling the riskiness in country risk ratings [electornic resources] / edited by Michael McAleer.
- 其他作者：
- 出版： Bingley, U.K. : Emerald 2005.
- 叢書名： Contributions to economic analysis ,v. 273
- 主題： Business & Economics--Finance , Business & Economics--Econometrics , Economics , Country risk--Mathematical models
- ISBN： 9781849508322
- URL：
Connect to Emerald resource
- 一般註：Includes index 99年度中區共購共享電子書 Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and multivariate estimates of symmetric and asymmetric conditional volatilities and conditional correlations for risk returns / Michael McAleer -- Conclusion / Michael McAleer -- Country risk models : an empirical critique / Michael McAleer -- Rating risk rating systems / Michael McAleer
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讀者標籤：
- 系統號： 000218754 | 機讀編目格式
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摘要註
The importance of country risk is underscored by the existence of several prominent country risk rating agencies. These agencies combine information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. As the accuracy of such countryrisk measures is open to question, it is necessary to analyse the agency rating systems to enable an evaluation of the importanceand relevance of agency risk ratings. The book focuses on the rating system of the international country risk guide. Time series data permit a comparative assessment of risk ratings for 120 countries, and highlight the importance of economic, financial and political risk ratings as components of a composite risk rating. The book analyses various univariate and multivariate risk returns and corresponding symmetric and asymmetric models of conditional volatility, as well as conditional correlations
