Country Risk Assessment - Bouchet, Michel Henry

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Résumé :

Preface ix

Acknowledgments xi

Foreword by Campbell R. Harvey xiii

1 Introduction 1

1.1 An historical perspective 1

1.2 Outline of the book 4

References 7

2 An Overview of Country Risk 9

2.1 A Review of the literature 9

2.1.1 The terminologies 9

2.1.2 Definitions of country risk 10

2.1.3 Sources of risk 13

2.1.4 Types of investment 13

2.1.5 The historical context 14

2.1.6 Different methodologies 15

2.2 Classification and examples of country risk 16

2.2.1 Natural disasters 16

2.2.2 Socio-political risk 17

2.2.3 Country-specific economic risk 22

References 25

3 The Economic and Financial Foundations of Country Risk Assessment 31

3.1 Devaluation 32

3.1.1 Relative price effects: The elasticities approach 32

3.1.2 Income effects: The absorption approach 33

3.1.3 Stock adjustments: The monetary approach 38

3.1.4 Stock adjustments: The portfolio balance approach 41

3.1.5 Country risk: Ratio analysis 42

References 47

4 Country Risk Assessment Methodologies: The Qualitative, Structural Approach to Country Risk 49

4.1 Introduction 49

4.2 Analysis of welfare and social indicators of the development process 51

4.3 Analysis of the macroeconomic structures of growth 52

4.4 External indebtedness, liquidity and solvency analysis 57

4.5 The savings-investment gap and domestic financial intermediation 61

4.6 Growth, crisis and governance 63

4.7 The qualitative aggregate approach to political risk 69

4.8 Conclusion 72

References 75

5 Assessment Methodologies: Ratings 79

5.1 Global country risk ratings 79

5.1.1 Specialized ranking firms 79

5.1.2 Export credit agencies 88

5.1.3 Summary of global country risk ranking methods 90

5.2 Country credit ratings 93

5.2.1 Credit rating agencies 94

5.2.2 Fitch 94

5.2.3 Moody's 98

5.2.4 Standard & Poor's 101

5.2.5 Country rankings published in magazines 102

5.2.6 Summary of country credit rating methods 105

5.3 Conclusion 109

References 110

6 Econometric and Mathematical Methods 115

6.1 Discriminant analysis 115

6.2 Logit and probit models 117

6.3 Regression analysis and model building 118

6.4 Monte Carlo simulations 121

6.5 Value at risk (VaR) 122

6.5.1 VaR for a single-asset portfolio 123

6.5.2 VaR for a two-asset portfolio 123

6.5.3 Other methods for Estimating VaR 124

6.6 Principal components analysis 124

6.7 Non-linearities and non-parametric estimation 125

6.8 Artificial neural networks 127

6.9 Multicriteria 127

References 129

7 Risk Models 133

7.1 Credit risk 133

7.1.1 Probabilities of default using historical data 133

7.1.2 Probabilities of default using interest rate spreads 133

7.1.3 Probabilities of default using firm value 135

7.1.4 Countrymetrics 137

7.1.5 Loss given default 140

7.1.6 Credit value at risk 140

7.1.7 Credit VaR, default correlation and contagion 141

7.2 Investment risk 142

7.2.1 Adjusting the expected cash flows 142

7.2.2 Adjusting the discount rate 142

7.2.3 The Macro CAPM 144

7.2.4 Measuring political risk as an insurance premium 145

References 147

8 International Portfolio Investment Analysis 149

8.1 Modern financial theory 149

8.2 International portfolio investment and country risk management 154

8.2.1 The international portfolio investment ...

Biographie:
MICHEL HENRY BOUCHET is Professor of Finance at CERAM-Sophia Antipolis (France), Scientific Director of the MSc in International Finance, and Head of the Chair 'Global Finance'. He is also Managing Director of DEFI/Developing Finance, Paris. After an international banking career at BNP, the World Bank and the Washington-based Institute of International Finance, Dr. Bouchet was founder and CEO of Owen Stanley Financial, a specialized advisory firm dealing with debt restructuring strategy for country governments. Dr. Bouchet graduated in Economics from the University of Paris and IEP-Paris. He also holds an M.A. and a Ph.D from USC (Columbia-USA). EPHRA?M CLARK is Professor of Finance at Middlesex University, London, and Visiting Professor at ESC Lille, France, with extensive teaching experience in Europe and the USA. He is Founding Editor of the European Journal of Finance, Co-editor of Treasury Affairs, and Associate Editor of the International Journal of Finance. Professor Clark is the author of eight books and over 50 articles in academic and professional journals in the field of international risk management, and he also has extensive experience in private business and as a consultant. BERTRAND GROSLAMBERT after working in Africa as Financial Controller with the French oil group, Total, Dr. Groslambert joined Paris-based FP Consult (now part of Fortis Group), an emerging market investment management company with a US$250 million portfolio. He was equity fund manager specializing in Latin American stock markets. Dr. Groslambert teaches International Finance Strategy and International Risk Management at CERAM. A graduate himself from CERAM, he holds a Doctorate in Economics from Aix-Marseille University, and his areas of expertise include emerging markets and international economics....

Sommaire:
MICHEL HENRY BOUCHET is Professor of Finance at CERAM-Sophia Antipolis (France), Scientific Director of the MSc in International Finance, and Head of the Chair 'Global Finance'. He is also Managing Director of DEFI/Developing Finance, Paris. After an international banking career at BNP, the World Bank and the Washington-based Institute of International Finance, Dr. Bouchet was founder and CEO of Owen Stanley Financial, a specialized advisory firm dealing with debt restructuring strategy for country governments. Dr. Bouchet graduated in Economics from the University of Paris and IEP-Paris. He also holds an M.A. and a Ph.D from USC (Columbia-USA). EPHRA?M CLARK is Professor of Finance at Middlesex University, London, and Visiting Professor at ESC Lille, France, with extensive teaching experience in Europe and the USA. He is Founding Editor of the European Journal of Finance, Co-editor of Treasury Affairs, and Associate Editor of the International Journal of Finance. Professor Clark is the author of eight books and over 50 articles in academic and professional journals in the field of international risk management, and he also has extensive experience in private business and as a consultant. BERTRAND GROSLAMBERT after working in Africa as Financial Controller with the French oil group, Total, Dr. Groslambert joined Paris-based FP Consult (now part of Fortis Group), an emerging market investment management company with a US$250 million portfolio. He was equity fund manager specializing in Latin American stock markets. Dr. Groslambert teaches International Finance Strategy and International Risk Management at CERAM. A graduate himself from CERAM, he holds a Doctorate in Economics from Aix-Marseille University, and his areas of expertise include emerging markets and international economics....