Measuring Country Risk on Bloomberg

In a previous blog (Evaluating Country Risk) we examined Bloomberg’s module for country debt ratings (CSDR).

Here are some additional Bloomberg modules dealing with country risk.

Country Risk Assessment is a Bloomberg EXCEL Template that calculates country risk for 60 countries based on 25 financial, economic and political risk factors. You can use Bloomberg default risk settings or calculate country risks based on weights that you choose. To access type:

XLTP XCRA <GO>

From the menu screen, click on OPEN to transfer the template to EXCEL. Then click on ENABLE CONTENT to activate the spreadsheet.

Here is part of the country view for Canada. Risk scores range from 0-100. The higher the score, the less risk a country poses.

Bloomberg Risk Canada

There are several additional views of the data available.

Model Summary: Gives a rank listing of countries by overall score, and subranking by Financial, Economic, and Political risk.

Bloomberg country score

Ticket List: A list of the approximately 1,500 Bloomberg mnemonics which form the basis of the country risk scores. Here you will find, for example, specific codes for France’s GDP forecast, Japan’s unemployment percent, and an index of the ease of doing business in Bulgaria. You can use the codes to examine the specific pieces of data. For example, to find the Economist’s Big Mac Index for Argentina from 1998 to date, type:

BIGMAR <INDEX> HP <GO>

Model Settings: This section allows you to change the default weights of the individual factors that determine the risk score. This allows you to “build your own” country risk scores.

Economist Intelligence Country Risk averages the individual measures of sovereign risk, currency risk and banking sector risk to compute a score ranging from 0 to 100. The lower the score the less the country risk. To see a list of countries  (approximately 120) and their overall risk scores type:

ALLX <GO>

allx country

Individual sub scores for currency (ALLX EICU), banking (ALLX EIBA), and sovereign risk (ALLX EISO) can be accessed as well.

Country Risk Premium: Bloomberg calculates the country risk premium as the return on a country’s stock market minus the risk free rate (typically government bonds) for the country. A recent figure for the United States is 7.09% where the risk free rate is 2.78% (ten year U.S. bonds) and the market rate is 9.88% (return on the S&P 500).  For access type CRP<GO>. Here are the first few entries (for about 40 countries) ranked by country risk premium in descending order.

Country Premium

For additional resources take a look at our Business FAQ, “Where do I find info on country risk — political risk, sovereign debt ratings, etc.?”.

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