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Measurement and valuation of country risk: how to get a right value?; Mätning och värdering av landrisk: hur man får ett rätt värde?

by Quentin Prevost

Institution: KTH Royal Institute of Technology
Department:
Degree:
Year: 2016
Keywords: Natural Sciences; Mathematics; Probability Theory and Statistics; Naturvetenskap; Matematik; Sannolikhetsteori och statistik; Civilingenjörsexamen - Teknisk fysik; Master of Science in Engineering -Engineering Physics; Mathematical Statistics; Matem
Posted: 2/5/2017 12:00:00 AM
Record ID: 2135219
Full text PDF: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-192373


Abstract

The purpose of this master thesis is to focus on country risk and its quantification as a premium. Country risk is an important parameter for investors willing to invest abroad and especially in emerging countries. Indeed, there is additional risk to invest in such countries for numerous reasons. It is thus imperative to be able to quantify it. The actual state of the art about this topic is still at its beginning. In this master thesis, I have developed two axis of reflection to get a country risk premium. The first one derives from the Capital Asset Pricing Model and related corporate finance theory. The second axis is based on a more mathematical approach. In the end, I have managed to have a quantified results with those two approaches. They are converging for both methods. I have applied my results with case studies on two countries: Sweden and Mexico ; Syftet med detta examensarbete är att fokusera på landrisken och dess kvantifiering som en premie. Landrisken är en viktig parameter för investerare som är villiga att investera utomlands och i synnerhet i tillväxtländerna. I själva verket finns det ytterligare risk att investera i dessa länder på grund av flera skäl. Det är därför viktigt att kunna kvantifiera det. Forskningen om detta ämne är för närvarande fortfarande i ett begynnelsestadium. I detta examensarbete har jag utvecklat två reflektionsaxlar för att få ett lands riskpremie. Den första härrör från Capital Asset Pricing och tillhörande corporate finance teori. Den andra axeln är baserad på en mer matematisk metod. I slutändan har jag lyckats få ett kvantifierat resultat med dessa två synsätt. De konvergerande för båda metoderna. Jag har kommit fram till mina resultat genom fallstudier på två länder: Sverige och Mexiko.

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