Emerging markets: investing with political risk

Clark, Ephraim A. and Tunaru, Radu (2001) Emerging markets: investing with political risk. Multinational Finance Journal, 5 (3). pp. 155-173. ISSN 1096-1879

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Abstract

This paper presents a model that measures the impact of political risk on portfolio investment when the political risks are multivariate and correlated across countries. The multivariate approach generalizes the single country model but retains most of its characteristics in terms of its ability to price political risk based on the stochastic process of exposure to loss and the expected frequency of loss causing events. The methodology is compatible with modern portfolio theo ry, straightforward to apply and can accommodate the traditional techniques in political risk assessment for the estimation of the relevant parameters.

Item Type:Article
Research Areas:Middlesex University Schools and Centres > Business School > Economics and International Development
Middlesex University Schools and Centres > Business School > Accounting and Finance
ID Code:155
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Deposited On:23 Oct 2008 14:22
Last Modified:02 Jul 2014 11:27

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