Abstract
The recent economic and financial crises demonstrate the necessity to develop models that can be used by banks, international lending institutions, and institutional investors to determine the economic soundness, the creditworthiness, and the associated risk of countries worldwide. This paper explores the performance of a new approach in developing country risk assessment models. The proposed approach is based on the M.H.DIS multicriteria decision aid method (Multi-Group Hierarchical Discrimination). A sample consisting of 143 countries derived from the World Bank is used to estimate the performance of the method in classifying the countries into four groups. A jackknife procedure is employed for this purpose and a comparison with multiple discriminant analysis, logit and probit analysis is also performed. The results indicate the superiority of the M.H.DIS method compared to traditional discrimination techniques already applied in country risk assessment.
A first draft of this paper was presented at the International Conference “Preparing the Manager of the 21st Century”, Thessaloniki, Greece, December 16–18, 1999.
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Doumpos, M., Pentaraki, K., Zopounidis, C., Agorastos, C. (2000). Assessing Country Risk Using a Multi-Group Discrimination Method: A Comparative Analysis. In: Zanakis, S.H., Doukidis, G., Zopounidis, C. (eds) Decision Making: Recent Developments and Worldwide Applications. Applied Optimization, vol 45. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-4919-9_24
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