Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga and Suhejla Hoti ()

No CARF-F-169, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The 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.

Pages: 21 pages
Date: 2009-09
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https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/175.pdf (application/pdf)

Related works:
Journal Article: Value-at-Risk for country risk ratings (2011)
Working Paper: Value-at-Risk for Country Risk Ratings (2010)
Working Paper: Value-at-Risk for Country Risk Ratings (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf169

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