Articles liés à Risk Assessment in Indian Financial Markets: An Empirical...

Risk Assessment in Indian Financial Markets: An Empirical Study in Equity, Forex and Derivative Markets - Couverture souple

Poornima, B. G.; Reddy, Y. V.

 
9786202008136: Risk Assessment in Indian Financial Markets: An Empirical Study in Equity, Forex and Derivative Markets
Couverture souple
ISBN 10 : 620200813X ISBN 13 : 9786202008136
Editeur : LAP LAMBERT Academic Publishing, 2017

Synopsis

One of the popular method available to quantify the market risk arising both in the spot and derivative markets is the Value at Risk, which revolutionized the Risk Management concept in the recent past. VaR is used mostly by the financial institutions to quantify market risk. But its applications is extended to calculate credit risk, liquidity risk, and operational risk. Further, the number of study with respect to the Indian context on Value at Risk is very less. Hence an attempt is made to study the application of various VaR models for the Indian Financial Markets consisting of Equity, Forex and Derivative Markets. The study aimed at comparing the predictive ability of various Value at Risk models in the Indian Financial Market consisting of Equity, Forex and Derivative market. The study tried to find answers for the following questions: (a) Which VaR model is appropriate for the Indian Financial Market?; (b) Is Indian Future Market riskier than spot market? (c) Is there risk spillover between Indian spot and future markets?

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

One of the popular method available to quantify the market risk arising both in the spot and derivative markets is the Value at Risk, which revolutionized the Risk Management concept in the recent past. VaR is used mostly by the financial institutions to quantify market risk. But its applications is extended to calculate credit risk, liquidity risk, and operational risk. Further, the number of study with respect to the Indian context on Value at Risk is very less. Hence an attempt is made to study the application of various VaR models for the Indian Financial Markets consisting of Equity, Forex and Derivative Markets. The study aimed at comparing the predictive ability of various Value at Risk models in the Indian Financial Market consisting of Equity, Forex and Derivative market. The study tried to find answers for the following questions: (a) Which VaR model is appropriate for the Indian Financial Market?; (b) Is Indian Future Market riskier than spot market? (c) Is there risk spillover between Indian spot and future markets?

Biographie de l'auteur

Dr.Poornima B. G. is Assistant Professor at Goa University. Her research areas include Quantitative Techniques, Financial Econometric, Financial Modelling and Financial Risk Management. Prof. Y. V. Reddy is the Registrar at Goa University. He has more than 30 years of teaching experience. His areas of interest include Finance and Derivative Market.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2017
Langue
anglais
ISBN 10 
620200813X
ISBN 13 
9786202008136
Reliure
Broché
Nombre de pages
208
Coordonnées du fabricant
non disponible
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