Moor, Lieven de (contributor); Sercu, Piet (contributor) - 2006
country risk, for instance,
factor-generated variance is defined as the variance across assets and observations, country by … the country factor is smaller than the sector variance if (i) the mean
square exposure to country risk is larger than the … mean square exposure to sector risk i.e. if on average
the dispersion of the exposure to country risk is higher than the …