Modeling Country Risks: An Asian Perspective

• Main Authors: TAN, Swee Liang, TAN, G. K. Randolph
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Debt crisis; Country risk assessment; Markov regime switching model; Asian Studies; International Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1077; https://ink.library.smu.edu.sg/context/soe_research/article/2076/viewcontent/CountryRiskAnalysis_MarkovRegimeSwitchingModel.pdf
• Institution: Singapore Management University

This paper investigates the use of the Markov Regime Switching Model (MRSM) as a means to track changes in the levels of investor confidence. It also assesses the probabilities of a country switching between different regimes using the transition probability matrix. A maximum of three possible level...