Country risk evaluation : [methods and applications] / edited by Kyriaki Kosmidou, Michael Doumpos, Constantin Zopounidis.

Format:

Book

Contributor:

Kosmidou, Kyriaki.

Doumpos, Michael.

Zopounidis, Constantin.

Series:

Springer optimization and its applications 1931-6828 ; v. 15.

Springer optimization and its applications, 1931-6828 ; v. 15

Language:

English

Subjects (All):

Country risk--Evaluation.

Country risk.

Country risk--Econometric models.

Physical Description:

x, 116 pages : illustrations ; 25 cm.

Place of Publication:

New York, NY : Springer, [2008]

Summary:

Financial globalization has increased the significance of methods used in the evaluation of country risk, one of the major research topics in economics and finance. Written by experts in the fields of multicriteria methodology, credit risk assessment, operations research, and financial management, this book develops a comprehensive framework for evaluating models based on several classification techniques that emerge from different theoretical directions.

This book compares different statistical and data mining techniques, noting the advantages of each method, and introduces new multicriteria methodologies that are important to country risk modeling.

Key topics include: A review of country risk definitions and an overview of the most recent tools in country risk management, In-depth statistical and econometric classification methods and non-parametric techniques, Several real-world applications of the methodologies described throughout the text, Future research directions for country risk assessment problems. This work is a useful toolkit for economists, financial managers, bank managers, operations researchers, management scientists, and risk analysts. Moreover, the book can also be used as a supplementary text for graduate courses in finance and financial risk management.

Contents:

1.1 Statistical Approaches in the Assessment of Country Risk 2

1.1.1 Debt Reschedulings 2

1.1.2 Political Factors 7

1.1.3 Alternative Views in the Assessment of Country Risk 10

1.1.4 Sovereign Credit Ratings 12

1.1.5 Important Issues in Statistical Country Risk Analysis 14

1.2 Multicriteria Analysis in the Assessment of Country Risk 15

2 Review of Methodologies 19

2.1 The UTADIS Method 19

2.1.1 Criteria Aggregation Model 19

2.1.2 Model Development Process 23

2.1.3 Model Development Issues 31

2.2 The Multigroup Hierarchical Discrimination Method (MHDIS) 33

2.2.1 Outline and Main Characteristics 33

2.2.2 The Hierarchical Discrimination Process 34

2.2.3 Estimation of Utility Functions 37

2.2.4 Model Extrapolation 43

2.3 Statistical and Econometric Techniques 43

2.3.1 Discriminant Analysis 44

2.3.2 Logit and Probit Analysis 47

2.4 Non-parametric Techniques 49

2.4.1 Neural Networks 49

2.4.2 Rule Induction and Decision Trees 52

2.4.3 Fuzzy Set Theory 54

2.4.4 Rough Sets 56

2.5 Miscellaneous Techniques 60

3 Applications 63

3.1 The Study of Zopounidis and Doumpos (1997) 63

3.1.1 Data Set Description 63

3.1.2 Presentation of Results 66

3.2 The Study of Doumpos and Zopounidis (2000) 73

3.2.1 Data Set Description 74

3.2.2 Illustration of MHDIS on the Complete Sample 75

3.2.3 Validation Tests 77

3.3 The Study of Doumpos and Zopounidis (2002) 79

3.3.1 Presentation of Results 82

3.3.2 Comparative Analysis with Other Approaches 85

3.4 The Study of Gjonca, Doumpos, Baourakis, and Zopounidis (2004) 87

3.4.1 Data Set Description 87

3.4.2 Presentation of Results 89

3.5 The Study of Doumpos, Kosmidou, and Zopounidis (2004) 95

3.5.1 Data Set Description 95

3.5.2 Presentation of Results 95.

Notes:

Subtitle from cover.

Includes bibliographical references (pages 107-113) and index.

ISBN:

9780387766799

0387766790

OCLC:

227032613