This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

This study is an attempt to compare and contrast the ratings granted by prominent agencies, the so-called Big Three namely S&P, Moody's and Fitch that dominate the market. The sovereign ratings are proven to motivate the CDS figures of countries empirically, and low ratings are known to increase...