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Risk and Return in Asian Emerging Markets

Risk and Return in Asian Emerging Markets
Author: N. Cakici
Publisher: Palgrave Macmillan
Total Pages: 0
Release: 2014-08-13
Genre: Business & Economics
ISBN: 9781137360885
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Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.

Risk Management in Emerging Markets

Risk Management in Emerging Markets
Author: Sabri Boubaker
Publisher: Emerald Group Publishing
Total Pages: 746
Release: 2016-10-04
Genre: Business & Economics
ISBN: 1786354519
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This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises and the design of risk management models.

Measuring Market Risk with Value at Risk

Measuring Market Risk with Value at Risk
Author: Pietro Penza
Publisher: John Wiley & Sons
Total Pages: 324
Release: 2001
Genre: Business & Economics
ISBN: 9780471393139
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"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Risk Management in Emerging Markets

Risk Management in Emerging Markets
Author: S. Motamen-Samadian
Publisher: Springer
Total Pages: 179
Release: 2005-10-11
Genre: Business & Economics
ISBN: 0230596363
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This book provides a thorough analysis of risk management in emerging markets. A collection of eight studies, each chapter examines the range of risks that investors face in an emerging market, and the methods that should be used to manage these risks. It includes the latest empirical studies on the role of insider trading and the extent of information efficiency of these markets, and a comprehensive assessment of the suitability of the Value at Risk models to emerging markets.

Value at Risk in Emerging Markets

Value at Risk in Emerging Markets
Author: Helder Centeno
Publisher:
Total Pages: 84
Release: 2006
Genre: Financial risk managment
ISBN:
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This study focuses on the relative performance of three Value-at-Risk (VaR) estimation methodologies. The daily stock market index returns of twelve different emerging markets are used for the empirical analysis. In addition to the well-known methodologies, such as the historical simulation and GARCH-based ones, the extreme value theory (EVT) is also used to estimate the daily VaR. In this paper, we focus on EVT because it studies the non-linear estimation of the tails and we expect to find many extreme events when analysing the return distributions in these twelve emerging markets. We focus on the negative extreme events rather than on the positive ones. The daily VaR is forecasted at three different quantile levels: 90%, 97.5%, 99.9%; and competing methodologies are back-tested accordingly. The results indicate that the historical simulation and GARCH-based methodologies work better at lower quantile levels than they do at higher quantile levels, while VaR estimated using EVT is more accurate at higher quantiles. EVT provides better information about extreme events, especially when financial distress occurs in these economies.

Emerging Markets and the Global Economy

Emerging Markets and the Global Economy
Author: Mohammed El Hedi Arouri
Publisher: Academic Press
Total Pages: 927
Release: 2013-12-26
Genre: Business & Economics
ISBN: 0124115632
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Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies

Evaluation of Value at Risk in Emerging Markets

Evaluation of Value at Risk in Emerging Markets
Author: Siva Kiran Kare
Publisher:
Total Pages:
Release: 2017
Genre:
ISBN:
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Financial institutions have witnessed numerous episodes of financial crises all over the world during the last four decades. The researchers, academicians and policy makers in the field of finance studied these episodes extensively and to mitigate the risk involved in these crises have proposed several measures in the financial literature, but Value at Risk (VaR) has emerged as a more popular risk measurement technique. Although a number of studies have been undertaken in this area of research for developed markets but very few studies have been conducted in developing and emerging market economies. This study makes an attempt to evaluate the performance of VaR in emerging markets namely Brazil, Russia, India and China by considering Historical, Monte Carlo and GARCH Simulations to calculate VaR for the period 1998 to 2015. The study found that GJRGARCH Simulation is more suitable for Brazil and China while Historical Simulation for Russian and Indian Stock Markets based on the backtesting experiment.

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets
Author: Nasha Ananchotikul
Publisher: International Monetary Fund
Total Pages: 33
Release: 2014-08-19
Genre: Business & Economics
ISBN: 1498340229
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In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.

Predictable Risk and Returns in Emerging Markets

Predictable Risk and Returns in Emerging Markets
Author: Campbell R. Harvey
Publisher:
Total Pages: 66
Release: 1994
Genre: Capital assets pricing model
ISBN:
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The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor. However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.