Proposal of a country risk index based on a factorial analysis - Una proposta di indice di rischio paese basato sull’analisi fattoriale: una applicazione ai paesi del sud del Mediterraneo e ai paesi del centro-est Europa

Enrico Ivaldi ()

Economia Internazionale / International Economics, 2013, vol. 66, issue 2, 231-249

Abstract: The present paper puts forward a method of calculation of Country Risk based on Factor Analysis and applies it to Southern Mediterranean and Central-Eastern European countries. In this work we propose a method for estimating Country Risk using factorial analysis (Factorial Country Risk Index – FCRI) and apply it to southern Mediterranean countries and a number of countries of central and Eastern Europe. The index provided periodically by Coface (a French company leader in export credit insurance) has been chosen as the benchmark for validating the FCRI. in order to provide a validation parameter for the index, the classification of the Country Risk is the chosen benchmark With the objective of providing a validation parameter for the proposed index, classification of Country Risk is used as a benchmark presented periodically by Coface, a leading French company in export credit insurance on. Finally, the reckoned indexes have been updated taking into account the evolution engendered by the ‘Arab Spring’. The analysis was completed through certain updates of the indices which in particular reflect the rich developments of critical situations stemming from the so-called ‘Arab Spring’ in the southern Mediterranean countries. The FCRI is established starting from a quite small set of variables and is correlated very well with the benchmark. It can be quickly revised and fits new scenaries easily. Last but least, the FCRI is able to single out in advance those ‘latent dimensions’ that are going to increase the risk. The index proposed here, even if only based on a number relatively small of variables, corresponds well to the classification testing, allows for a rapid and satisfactory review and has adequate capacity to adapt to new scenarios, but above all, seems to be able to give substance to the pre-figurative ‘latent dimensions’ of risks in relatively brief periods. - Scopo di questo lavoro è la predisposizione di una metodologia per il calcolo del Rischio Paese attraverso l’utilizzo dell’analisi fattoriale (Factorial Country Risk Index – FCRI), e la sua applicazione ai Paesi del sud del Mediterraneo e ad alcuni Paesi facenti parte dell’Europa centrale ed orientale. Al fine di fornire un parametro di validazione dell’indice proposto, si utilizza come misura di confronto la classificazione di Rischio Paese proposta periodicamente da Coface, azienda francese leader nell’assicurazione del credito alle esportazioni. L’analisi è completata da alcune considerazioni relative alle criticità introdotte dalla cosiddetta “Primavera araba” nei Paesi del sud del Mediterraneo. L’indicatore proposto, pur se ottenuto con un numero di indici relativamente limitato, mostra una buona corrispondenza con la variabile test, permette una soddisfacente rapidità di revisione e un’adeguata capacità di adattamento a nuovi scenari, ma soprattutto sembra avere la capacità di dar corpo alle “dimensioni latenti” prefigurative dei rischi in tempi relativamente brevi.

Keywords: Risk Country; Factorial Analysis; Arab Spring (search for similar items in EconPapers)
JEL-codes: C40 C81 F50 (search for similar items in EconPapers)
Date: 2013
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