Curated Measure
5,011
387

The NLA Corporate Country Risk Index

Track the stability of 45 major economies and map how crises transmit across borders.

Last data refresh Mar 20, 2026 • 45 series in this Curated Measure

At a glance:

NLA Corporate Country Risk Index

Coverage

Public firms headquartered in 80+ countries; the index ships for 45 country series (2002-present).

Methodology and data

Granularity

Earnings-call level (firm-panel export: one row per call).

Source

LSEG earnings-call transcripts (English).

Update schedule
Last data refresh Mar 20, 2026. Update frequency:

Quarterly
Export shape

Time-series aggregates; firm-panel call-level rows.

Access

Free preview; exports depend on plan.

Access details • Pricing

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 and open the series page for full query and methodology notes.

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Curated chart

CountryRisk: Canada over time

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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

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 .

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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.

  1. 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.

  2. 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 based 80+ countries (~60% based in the United States), 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/

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