Emerging markets: investing with political risk
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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.
|Research Areas:||Middlesex University Schools and Centres > Business School > Accounting and Finance|
Middlesex University Schools and Centres > Business School > Economics and International Development
|Deposited On:||23 Oct 2008 14:22|
|Last Modified:||10 Dec 2014 20:29|
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