Since the Latin American debt crisis of the early 80s, country risk analysis has accounted for a significant part of the work of research and risk management departments of banks, insurance companies, rating agencies, financial market regulators, and multinational companies. Country risk is a...

The costs of debt crises are not invariant to the foreign debt instrument composition: bank loans or bonds. The lending boom of the 1990s witnessed considerable variation over time and across countries in the debt instrument used by emerging market (EM) borrowers. This paper tests how...

Capital flows often confront central banks with a dilemma: to contain the exchange rate or to allow it to float. To tackle this problem, an equilibrium model of capital flows is proposed. The model captures sudden stops with shocks to the country risk premium. This enables the model to deal with...

Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment (FDI) decision. Our study assesses country risk by state-dependent preferences and introduces futures contracts as a tool of risk mitigation. We show that foreign direct investment...

After 1990 with the emergence of major crises in Latin America and Russia, Country risk has gained a broad economic and political spectrum. There for implications of country risk have been combining quantitative analysis tools with the qualitative ones. Paper addresses the following topics...

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment (FDI) decision. Our study assesses country risk by state-dependent preferences and introduces futures contracts as a tool of risk mitigation. We show that country risk assessments...

Country risk and globalization are two terms that at first sight may seem incompatible, globalization meaning opening, expansion of international economic relations, while country risk indicator generates limits or adjustments for the external activities. The present scientific approach aims to...

It is widely accepted that risk is a constant of the human activity in general. From this perspective, the expansion of business across country borders requires identification, assessment and brief analysis of the overall risk that operators would face in a targeted national economy.Country risk...

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...