OIL-EXPORTING COUNTRY RISK EVALUATION USING A MULTI-GROUP DISCRIMINATION METHOD

摘要

The recent increasing oil price and oil shocks demonstrate the necessity to develop models to be used by oil-importing countries to determine the economic soundness, the creditworthiness, and the associated risk of oil-exporting countries worldwide. This paper explores the performance of a new, nonparametric approach in oil-exporting 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 40 main oil-producing countries is used to estimate the performance of the method in classifying the countries in to two groups. A comparison with multiple discriminant analysis, logit analysis, and probit analysis is also performed. The results indicate the superiority of the M. H. DIS method as opposed to these traditional discrimination techniques already applied in country risk assessment.