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dc.contributor.authorSimpson, John
dc.contributor.editorGreg N. Gregoriou, Christian Hoppe and Carsten S. Wehn
dc.date.accessioned2017-01-30T15:36:41Z
dc.date.available2017-01-30T15:36:41Z
dc.date.created2010-07-05T20:02:30Z
dc.date.issued2010
dc.identifier.citationSimpson, John. 2010. Toward a market sector-based composite political risk indicator model, in Gregoriou, G. and Hoppe, C. and Wehn, C. (ed), The Risk Modeling Evaluation Handbook: rethinking financial risk management methodologies in the global capital markets. pp. 21-38. USA: McGraw Hill.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/47953
dc.description.abstract

Model risk involves the risk of model misspecification. In this chapter it is argued that unsystematic risk is an indicator of country-specific and human factors. With a strong theoretical base for a systematic capital asset pricing model specification, these factors may be classified as political risk, which is influenced by social, legal, and cultural effects. When adjusted for degrees of systemic information efficiency and country-industry interaction with global stock markets, this uncomplicated analytical tool could reduce model risk and be used to calculate composite political risk, which can be used as an adjunct to other risk indicators. Government and industry risk analysts may be able to preempt market and political risk problems and to price risk premia in international bank lending with greater frequency of information than is currently available. The example used in study involves a hypothetical country banking industry and its interaction with the global banking industry. Future research will test the model's efficacy.

dc.publisherMcGrah hill
dc.titleToward a market sector-based composite political risk indicator model
dc.typeBook Chapter
dcterms.source.startPage21
dcterms.source.endPage38
dcterms.source.titleThe risk modeling evaluation handbook
dcterms.source.isbn978-0-07-166370-0
dcterms.source.placeUSA
dcterms.source.chapter28
curtin.accessStatusFulltext not available
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance


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