The NLA Corporate Country Risk Index
At a glance:
NLA Corporate Country Risk Index
- Coverage
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Public firms headquartered in 80+ countries; the index ships for 45 country series (2002-present).
- Granularity
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Earnings-call level (firm-panel export: one row per call).
- Source
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LSEG earnings-call transcripts (English).
- Update schedule
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Last updated Feb 27, 2026.
Update frequency:
Quarterly
- Export shape
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Time-series aggregates; firm-panel call-level rows.
- Access
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Free preview; exports depend on plan.
Overview
The NLA Corporate Country Risk Index (NLA-CCRI) is a firm-level measure of perceived country risk derived from executive and analyst speech during corporate earnings calls.
Common applications include:
- Monitoring shifts in risk perception over time and comparing risk episodes across countries.
- Establishing early warning signals for geopolitical and policy events.
- Measuring how economic shocks transmit through sectors, regions, and individual firms.
- Differentiating between local and foreign risk perceptions about a country.
Why it matters
Traditional country risk indicators often move slowly because they rely on macro releases or expert ratings. This index captures real-time corporate perception - what decision-makers choose to discuss when asked about outlook, operations, and exposure.
Explore the data
This measure includes 45 related series. Use the filter to find a series, select it to update the chart, and open Details for full query and methodology notes.
No series match your filter.
over time
Chart data unavailable
Mean number of sentences per earnings call containing a query keyword and a synonym for risk. Smoothed with a 4-period moving average.
How to read this chart
This time-series chart shows the mean number of sentences per earnings call containing a query keyword and a synonym for risk. Smoothed with a 4-period moving average.
Interpretation:
- Higher values mean call participants devoted more discussion to the topic.
- The chart is best for timing and directional monitoring.
- Use exports for statistical modeling, replication, and firm-level analysis.
How to access?
Preview: Browse all series and view charts without an account. Downloads require sign-in .
Free plan
- series: time-series + panel included.
- Other series: 1 unlocks panel + time-series.
Standard plan
- Time-series: included for all series.
- Panel: series included; other series require 1 panel export credit .
Research / Enterprise
- Time-series: included for all series.
- Panel: included for all series.
Methodology and data
Methodology
This Curated Measure is based on the approach in Sources and Transmission of Country Risk published in the Review of Economic Studies in 2023 by Hassan, Schreger, Schwedeler, Tahoun.
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Country dictionaries with weights
For each country, we build a large country-specific keyword dictionary. Each keyword receives a weight reflecting how strongly it identifies the country. This is based on a tf‑idf based methodology using a comprehensive training library. -
Sentence and transcript-level scoring
Each transcript is split into sentences. A sentence contributes to the score when it contains (a) a country keyword (from the country dictionary), and (b) risk synonym. That sentence is assigned the weight of the matched country keyword(s). Each transcript score is the sum of all weighted country-risk sentences in the call.
Please note: In contrast to Hassan et al. (2023), we use sentence level scoring (they use a window of +/- 10 words).
Data
- 400k+ earnings-call transcripts, ~14,000 public firms, 80+ countries (2002–today)
- Language: English
- Source: LSEG
- Coverage varies by market depth and transcript availability
References
Hassan, T. & Schreger, J. & Schwedeler, M. & Tahoun, A., "Sources and Transmission of Country Risk," The Review of Economic Studies, 91(4):2307-2346 (2023)
NL Analytics. (2025). The NLA Corporate Country Risk Index [Data set]. NL Analytics. https://apps.nlanalytics.tech/curated-measures/country-risk/