On the use of a multi-criteria hierarchical discrimination approach for country risk assessment

Country risk is an issue with multidimensional implications in economic and social development at the national, regional and global levels. The assessment of country risk is often realized as a classification problem, involving the assignment of the countries into predefined groups according to their economic prospects. Within this framework, this study employs the MHDIS multi-criteria decision aid method (Multi-group Hierarchical DIScrimination) for developing country risk assessment models. The data used in the analysis involve a set of 161 countries obtained from the World Bank. An extensive comparison is also performed with other well-known parametric and non-parametric classification methods.