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Value-at-Risk for Country Risk Ratings
http://hdl.handle.net/2261/26658
http://hdl.handle.net/2261/26658491695a8-47f0-46b5-aac5-42e4053d5e52
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Value-at-Risk for Country Risk Ratings | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Country risk ratings | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | debt default | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | value-at-risk | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk bounds | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk management | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C22, G15, D81 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
McAleer, Michael
× McAleer, Michael× Bernardo, da Veiga× Hoti, Suhejla |
|||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
著者所属 | ||||||
著者所属 | School of Economics and Finance Curtin University of Technology | |||||
著者所属 | ||||||
著者所属 | Department of Treasury and Finance Western Australia | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country’s cost of borrowing and debt servicing obligations, and vice-versa. In this context, it is useful to analyse country risk ratings data, much like financial data, in terms of the time series patterns, as such an analysis provides policy makers and industry stakeholders with a more accurate method of forecasting future changes in the risks and returns associated with country risk ratings. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-659, 発行日 2009-09 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf659ab.html |