Global Country Risk Assessment and Selection

This project will involve the calculation of a global country risk measure for each of the 45 countries included in MSCI All Country World Index. Two alternative approaches will be used to develop our measures. The first is based on market segmentation and will use, for each country, the GICS industry group data consisting of earnings yield, book yield and gross profit. The second approach develops the risk measure based on the country’s susceptibility to extreme risks in local and global markets. These two methods will be constructed from a bottom-up approach which means from individual firms to country level. Once calculated each of these measures will be examined both through time and across countries and the two measures will be compared and contrasted in the hope of finding an optimal country risk measure. This research will give guidance to Highstreet when investing in global markets.

Jinah Lee
Superviseur universitaire: 
Dr. John Knight
Project Year: