Comparative analysis of risk ratings for the East European region

DOI10.1016/J.MATCOM.2005.02.014MaRDI QIDQ2486189zbMATH OpenOpenAlexFDO

Authors Suhejla Hoti

Publication date 5 August 2005

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2005.02.014

zbMATH Keywords

Composite riskConditional correlationCountry riskEconomic riskFinancial riskGARCHICRGPolitical riskRating agenciesRating systemsShocksVolatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Country risk evaluation. Methods and applications
• scientific article; zbMATH DE number 1538073
• Modeling country risk ratings using partial orders
• Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
• Political risk and adjusted present value

Cites work

• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.

Cited in

(2)

• Small island tourism economies and country risk ratings
• Political risk and adjusted present value

This page was built for publication: Comparative analysis of risk ratings for the East European region

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2486189)