کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958475 | 929016 | 2012 | 21 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A new country risk index for emerging markets: A stochastic dominance approach A new country risk index for emerging markets: A stochastic dominance approach](/preview/png/958475.png)
An optimal weighting scheme is proposed to construct economic, political and financial risk indices in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. These tests are considered for a given risk index with respect to all possible indices constructed from a set of individual risk factors. The test statistics and the estimators are computed using mixed integer programming methods. We derive an economic, political and financial risk ranking of emerging countries. Finally, an overall risk index is constructed. One main result is that the financial risk is the leading contributor to sovereign risk in emerging markets followed by the economic and political risks.
► A new sovereign risk index is constructed for emerging countries.
► The method is based on stochastic dominance.
► The optimality of the risk index is tested.
► Our index outperforms the ratings of the major rating agencies.
Journal: Journal of Empirical Finance - Volume 19, Issue 5, December 2012, Pages 741–761