Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga () and Suhejla Hoti
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Suhejla Hoti: Department of Treasury and Finance, Western Australia

No CIRJE-F-659, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 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.

New Economics Papers: this item is included in nep-fmk and nep-rmg
Date: 2009-09

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