M.A. / The discipline of political risk analysis has often been criticised as a ‘soft science’. As the title of this study suggest, the major challenge of this study is set out to provide an empirical analysis of political risk and to prove that political risk can indeed be measured. The aim of this study is to provide an empirical analysis of political risk by testing the reliability of current risk assessment approaches to accurately forecast political risk. There have not been many attempts to test the reliability of political risk assessment models. However, Howell & Chaddick (1994) tested the reliability of three (EIU, PRS and BERI) political risk assessment models to accurately forecast risk projections in the period 1982-1994. This study will revisit the test done by Howell & Chaddick (1994) in order to determine the reliability of three forecast models. In order for forecasts to be reliable, forecasts must be justified and defended by applying practical logic. Practical logic implies that theory be tested against real world experience. Hence, a reliable analysis will require that actual losses be tested against theory. Therefore, in addressing the connection between theory and actual losses, this study will correlate losses incurred in the period 1994- 2004 with theory. Due to the nominal nature of the concept political risk, there has been a lack of consensus in the field on what constitute political risk. This study will provide a conceptual clarification of political risk. A brief discussion of the underlying theoretical background in political risk is required in order to understand the concept of political risk and terms thereof. Hence, this study will establish a theoretical base of political risk analysis. This study argue that low political risk encourage foreign direct investment. The relationship between political risk and foreign direct investment will be analysed in this study. It is hoped that in light of this study’s findings, a case can be putt III forth that multi-national corporations can use political risk analysis to minimise exposure to losses and as an extension of political risk analysis, multi-national corporations can use political risk insurance to hedge against political risks. The outcomes of this study aim to prove that political risk can be empirically tested and measured and that the analysis of political risk is essential to successfully manage political risks.

No description available.

Thesis (Ph. D.)--University of Maryland, College Park, 1993. / Includes bibliographical references (leaves 121-127).

Thesis (D.B.A.)--Alliant International University, San Diego, 2005. / Includes bibliographical references (leaves 153-159).

This paper adds to the understanding and transparency of equity pricing in emerging markets. Its novel contribution is that it empirically investigates the pricing of Country Risk in BRIC markets, using a two-factor intertemporal pricing model. Bridging the gap between academics and practitioners, this paper contributes to the debate as to whether or not it is justified to adjust discount rates for emerging market companies – as given by the CAPM – by including an unconditional country risk premium. In choosing between country risk proxies, the sovereign yield spread adjusted for relative equity volatility appears to supersede the classical sovereign yield spread in explaining return variations. Evidence is presented that country risk is priced in India and China indicating some type of market segmentation; in these markets, the addition of a country risk premium to the discount rate is justified. Moreover, the paper complements the market integration literature in that it is shown that the correlation between the change in country risk premium and the equity risk premium might show signs of market segmentation or market integration, rendering the pricing factor for country risk in specific countries significant or insignificant, respectively. © 2010 Soeriowardojo, G.T. All rights reserved.

<p>This paper adds to the understanding and transparency of equity pricing in emerging markets. Its novel contribution is that it empirically investigates the pricing of Country Risk in BRIC markets, using a two-factor intertemporal pricing model. Bridging the gap between academics and practitioners, this paper contributes to the debate as to whether or not it is justified to adjust discount rates for emerging market companies – as given by the CAPM – by including an unconditional country risk premium. In choosing between country risk proxies, the sovereign yield spread adjusted for relative equity volatility appears to supersede the classical sovereign yield spread in explaining return variations. Evidence is presented that country risk is priced in India and China indicating some type of market segmentation; in these markets, the addition of a country risk premium to the discount rate is justified. Moreover, the paper complements the market integration literature in that it is shown that the correlation between the change in country risk premium and the equity risk premium might show signs of market segmentation or market integration, rendering the pricing factor for country risk in specific countries significant or insignificant, respectively. © 2010 Soeriowardojo, G.T. All rights reserved.</p>

A research report submitted to the Faculty of Science, School of Statistics and Actuarial Science in partial fulfilment of the requirements for the degree of Master of Science, University of the Witwatersrand. Johannesburg, 08 June 2017. Mathematical Statistics degree, 2017 / Country risk evaluation is a crucial exercise when determining the ability of countries to repay their debts. The global environment is volatile and is filled with macro-economic, financial and political factors that may affect a country’s commercial environment, resulting in its inability to service its debt. This re search report compares the ability of conventional neural network models and traditional panel logistic regression models in assessing country risk. The mod els are developed using a set of economic, financial and political risk factors obtained from the World Bank for the years 1996 to 2013 for 214 economies. These variables are used to assess the debt servicing capacity of the economies as this has a direct impact on the return on investments for financial institu tions, investors, policy makers as well as researchers. The models developed may act as early warning systems to reduce exposure to country risk. Keywords: Country risk, Debt rescheduling, Panel logit model, Neural net work models / XL2017

Emerging markets have become important investment destination for international investors as they seek opportunities to grow and diversify their investment portfolios. At the same time, emerging markets are perceived to be riskier than developed markets. It is therefore imperative for the international investor to fully comprehend and appreciate the risk faced by their investments in the emerging markets and the drivers of the underlying their value. A significant amount of research has been carried out on the valuation of companies in emerging markets and the role country risk has in determining the final valuation price. Despite this, there is still no consensus amongst practitioners in the financial industry and academics on the best approach. The valuation methodologies currently employed vary significantly and in some cases involve making arbitrary adjustments based on “gut feel” with limited empirical evidence. This research study appraises existing emerging markets valuation frameworks such as the discounted cash flow model (DCF), including capital asset pricing model (CAPM) and its variants. It also looks at relative valuation and real option pricing framework with intention of proposing the “best practice” valuation framework for valuing companies in emerging markets. The general theory is that emerging markets are segmented from the developed world capital markets making portfolio optimisation across these markets difficult. Segmentation of emerging markets is as a result of inefficiency of the capital markets, in particular the inability of foreign investors to enter and exit the local capital markets at no extra costs. The emerging markets valuation frameworks are designed to address the inability to effectively diversify investments due to the segmentation of these markets. It was therefore pertinent that this study determines whether emerging markets are indeed segmented from world capital markets and therefore significantly riskier than developed markets. This part of the study was carried out by conducting both quantitative and qualitative analysis of the emerging capital markets. Quantitative analysis was done on the performances of twenty-seven emerging equity markets for the period between July 1998 and November 2008 and the results were compared with the US equity market analysis (United States was used in the study as the proxy for the world equity market) for the same period. The study used volatility of the markets as the measure of risk and the correlation to measure the level of integration. Qualitative analysis involved reviewing regulatory, legal and political risks of the different emerging markets. The results from this part of the study showed that emerging markets are indeed riskier than developed markets and are somewhat segmented from the world capital markets. Based on 4 this result, we concluded that the valuation frameworks in emerging markets should be adjusted or modified to incorporate the impact of country risk. A total of eleven different emerging markets valuation frameworks were appraised. The study reviewed the literature relating to the emerging markets valuation frameworks to establish their theoretical and empirical basis. The study also conducted qualitative and quantitative analysis of each of the eleven selected methods regarding relevance and practicality in the valuation of emerging market companies. Valuation models were developed from the different valuation frameworks, a process that included deriving different variants of the models such as the country risk premium. The qualitative analysis looked at the how practical is the valuation frameworks considering its variants. For quantitative analysis the emerging market valuation models were used to value ABSA Bank Group; Edgars Consolidated Stores Limited; and Standard Bank Group and outcomes of the valuation were compared with the final purchase price paid in recent corporate transactions involving these companies. The absolute difference between the notional valuation and the actual transaction price was used to rank the valuation frameworks, with smallest difference indicating the best fit. All the eleven emerging market valuation methodologies yielded results different from the purchase prices. Erb−Harvey−Viskanta (EHV) model had the best fit when compared with the actual purchase price. However, the study does not propose the usage of EHV as the “best practice” method because of weak theoretical basis. The study concludes that at least three to four methodologies should be used to derive a valuation range for purchase price negotiations

published_or_final_version / abstract / toc / China Area Studies / Master / Master of Arts

Thesis (masters)--Frankfurt School of Finance & Management, 2006. / Title from title screen (viewed on June 15, 2006). Includes bibliographical references.