Comparison of sovereign risk and its determinants

Master Thesis

2019

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http://hdl.handle.net/11427/31119
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thesis_sci_2019_smith_anri.pdf (3.72 MB)
Authors
Smith, Anri
Supervisors
Barr, Graham
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Department
Department of Statistical Sciences
Faculty
Faculty of Science
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Abstract
This paper aims to measure, compare and model Sovereign Risk. The risk position of South Africa compared to Emerging Markets as well as in comparison to Developed Markets is considered. Particular interest is taken in how the South African Sovereign Risk environment, and its associated determinants, differs and conforms to that of other Emerging Markets. This effectively highlights how the South African economy is similar to the Emerging Markets and where it behaves differently. Regression, optimisation techniques, dimension reduction techniques as well as Machine Learning techniques, through the use of sentiment analysis, is utilised in this research.
Description
Keywords
sovereign risk
emerging markets
developed markets
machine learning
sentiment analysis

Reference:

Smith, A. 2019. Comparison of sovereign risk and its determinants.

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