Kooperativer Bibliotheksverbund

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Format: 1 online resource (746 pages)

Edition: First edition.

ISBN: 1-78635-451-9

Content: Academic finance research has shown that emerging markets still suffer from a myriad of risks such as credit, operational, market, legal and exchange rate risks. The onset of the subprime crisis 2007, the global financial crisis 2008-2009, and the Eurozone public debt crisis since the end of 2009 has brought to the light a number of emerging markets facing tumbling currencies, rising inflation, slowing growth, heavy dependence on foreign capital, and high levels of vulnerability to external shocks due to increased market integration. This context calls for not only a reconsideration of recent risk assessment models and risk management practices, but also the improvement and innovation of these models and practices. Factors such as liquidity, tail dependence, comovement, contagion, and timescale interactions have thus to be part of an integrated risk assessment and management framework. 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.

Note: Front Cover -- Risk Management in Emerging Markets -- Copyright Page -- Contents -- About the Editors -- About the Authors -- Preface -- Foreword -- Part I: Framework -- 1 Realized Volatility of the Spread: An Analysis in the Foreign Exchange Market -- Introduction -- Literature Review and Propositions Development -- Data and Methodology -- Dependent Variable - Volatility of Liquidity -- Independent Variables -- Methodology -- Empirical Results -- Descriptive Statistics -- Dynamic Panel Regression Results -- Augmented Dynamic Panel Regression Results -- Conclusion -- References -- 2 Global Responsibility and Risks of Compliance Failure in Emerging Markets -- Introduction -- Global Responsibility and Compliance Risk -- Compliance Risk in the BRICS -- Corporate Governance, Internal Control, and Risk Management in the BRICS: Legislative and Regulatory Framework -- Brazil -- Russia -- India -- China -- South Africa -- Compliance Failure in the BRICS Companies: Selected Case Studies -- Vale SA (Brazil) -- Gazprom (Russia) -- Maruti Suzuki (India) -- China National Petroleum Corporation (China) -- Harmony Gold Mining Ltd (South Africa) -- Conclusion -- References -- 3 The Dynamics of Value Comovement across Global Equity Markets -- Introduction -- Data -- Constructing the CAPE -- Descriptive Statistics -- Methodology -- Value Spreads -- Results -- Benchmark -- Correlations -- America -- Europe -- Asia -- Value Spreads -- America -- Europe -- Asia -- Value Portfolio: The Risk Angle -- Conclusions -- References -- Appendix -- 4 The Adoption of Political Risk Assessment in Emerging Markets -- Introduction -- Risk, Uncertainty, Political Risk, and Political Risk Assessment -- Risk and Uncertainty -- Political Risk and Country Risk -- Political Risk Assessment -- The Determinants of the Adoption of Political Risk Assessment -- Firm Size -- Firm Complexity. , Level of Internationalization -- Ownership -- Location of Subsidiaries -- Leverage -- Investment Opportunities -- Auditor Type -- Industry -- Conclusion -- References -- 5 Rethinking Framework of Integrated Interest Rate and Credit Risk Management in Emerging Markets -- Introduction -- Scope and Data -- Methodology -- Historical VaR Modeling of Economic Capital -- Derivative-Based Segregated Approach to Risk Assessment -- Derivative-Based Integrated Approach to Risk Assessment -- Capital-Wise Elasticity of Interest Rate Risk and Credit Risk -- Components of a Bond Yield -- Yield-Based Integrated Approach to Risk Assessment -- Estimating Liquidity Component -- IRB Foundation Approach to Unexpected Loss Assessment -- Results and Discussion -- Derivative-Based Integrated versus Segregated Approach to Risk Assessment -- Derivative-Based Studies of Expansion and Contraction Phases of Business Cycle -- Derivative-Based Capital-Wise Elasticity of Interest Rate Risk and Credit Risk -- Derivative-Based Integrated Approach versus Yield-Based Approach to Risk Assessment -- Estimating Liquidity Component -- Benchmarking the Derivative-Based Integrated Approach against the Basel III Regulation -- Derivative-Based Modeling of Economic Capital for the 2007-2014 Period -- Conclusion -- References -- 6 Auditing Bank Financial Statements in Emerging Market Countries: The Use of the Benford Distribution -- The Benford Distribution -- Russian Bank Accounting Practices -- Identifying Failing Banks in Real Time -- Implications of Scale Invariance -- Concluding Lessons -- References -- 7 Emerging Markets Carry Trades and Financial Crises -- Introduction -- Interest Rate Parity and Carry Trades -- Emerging Markets' Carry Trade: Opportunities and Threats -- Forecasting Financial Crises: Can Emerging Markets Carry Trades Help? -- Conclusion -- References. , 8 Risk Management in Islamic Banking: An Emerging Market Imperative -- Introduction -- The Nature of Risk in Islamic Banking -- Credit Risk -- Benchmark Risk -- Liquidity Risk -- Operational Risk -- Legal Risk -- Withdrawal Risk -- Fiduciary Risk -- Displaced Commercial Risk -- Operation of Islamic Banks in Emerging Markets -- Unique Counterparty Risks in Islamic Modes of Finance -- Muraba'ah Financing -- Salam Financing -- Istisnā Financing -- Mushārakah (Profit and Loss Sharing) Mudārabah (Profit Sharing) (M-M) Financing -- Sukuk Financing -- Counterparty Risk in Emerging Markets -- Bank Risk Management Practices in Emerging Markets -- Conclusion -- References -- 9 Value at Risk Prediction under Illiquid Market Conditions: A Comparison of Alternative Modeling Strategies -- Introduction and Motivation -- Literature Review and Underlying Principle of the Chapter -- Literatures Associated with Liquidity-Adjusted Value at Risk (L-VaR) Modeling -- Underpinnings and Particular Objectives of Present Research Study -- Incorporating Asset Liquidity Risk into Parametric Trading Risk Modeling -- Statistical Foundation of a Coherent L-VaR Approach -- Modeling Asset Liquidity Trading Risk in L-VaR Context -- Comparing and Testing the Performance of L-VaR Models - Empirical Analysis of the GCC Stock Markets -- Estimation of Conditional Volatility with GARCH-M (1,1)Technique -- Statistical Analysis and Testing for Non-Normality -- Liquidity Trading Risk Management - A Comparison of Alternative L-VaR Modeling Strategies -- Summary and Concluding Remarks -- References -- Part II: Applications and Case Studies -- 10 Enterprise Risk Management and Bank Performance: Evidence from Eastern Europe during the Financial Crisis -- Introduction -- Literature Review -- Data -- Methodology -- Empirical Results -- Conclusions -- References -- Appendix. , 11 The Informational Content of Issuer Credit Rating Changes in Emerging Stock Markets: Evidence from China -- Introduction -- Literature Review and Hypothesis Development -- Literature Background -- Hypotheses -- Data and Methodology -- Data -- Methodology -- Event Study Results -- Regression Analysis -- Independent Variables -- Regression Models -- Regression Results -- Conclusion -- References -- 12 How Should Banks Support SMEs to Manage Funding Risks in China? The Role of Relationship Banking -- Introduction -- The State of SME Financing and the Problems Faced by SMEs in China -- Theoretical Framework and Hypotheses -- Literature Review: The Positive Side of Relationship Banking -- The Soft-Budget Problem and the Hold-up Problem -- Data and Methodology -- Description of the 2010 Survey of SMEs in Zhejiang Province -- Model and Data -- Results and Discussion -- Concluding Remarks -- References -- Appendix -- 13 Risk Management in a Transition Economy: The Chilean Case -- The State of Risk Management in Emerging Markets: The Chilean Case -- Physical Risk -- Social Risk -- Economic Risk -- Political Risk -- Financial Risk -- Operational Risk -- Technology Risk -- Outsourcing as Management Risk in Emerging Markets -- Environmental Risk -- Methodology -- Schwager S.A. -- La Polar S.A. -- Hites S.A. -- South American Steamship Company SA (CSAV) -- Soquimich SA -- Results -- Conclusions -- References -- 14 Regional Integration and Risk Management of African Stock Markets -- Introduction -- Developments in African Stock Markets and Beyond -- Empirical Methodology for Measuring Return Spillover -- The Diebold-Yilmaz Spillover Index. -- Empirical Results -- Data -- Return Spillover among African Stock Markets Around Financial Crises -- Developments in Regional Integration of African Stock Markets. , Individual Response to the Global Shocks and to the African Regional Integration -- Perspectives from the Sub-Regional Level -- Sub-Regional Integration -- Regional Hub Interactions -- Risk Management in African Stock Markets -- Financial Integration, Financial Development, and Economic Growth -- Capital Control, Foreign Banks, and Foreign Investors -- Policy Recommendations for African Stock Markets -- Conclusion -- References -- Appendix -- 15 Foreign Currency Borrowing in Hungary: The Pricing Behavior of Banks -- Introduction -- Specific Features of the Problem of Hungarian Foreign Currency Debt -- Important Differences to Other CEE Countries -- The Sectoral Character of Foreign Currency Debt in Hungary -- Facts and Consequences of Household Foreign Currency Borrowing -- The Causes of Rising Interest Rates of Swiss Franc Mortgage Loans -- Some Important Characteristics of the Hungarian Banking Market -- Theoretical Hypotheses Concerning Factors Determining Interest on Loans -- Empirical Results -- Investigation Database -- Vector Error Correction (VEC) Modeling -- Result Implications for Economic Policy -- Summary and Conclusions -- References -- Appendix -- 16 Intraday Volatility Smiles, Day of the Week Effect, and Risk Management at Borsa Istanbul Stock Exchange -- Introduction -- Literature Review -- Trading Hours and Opening Procedures at the BIST -- Data -- Results and Discussion -- Conclusion -- References -- 17 Dynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets -- Introduction -- Constructing Emerging Market Hedge Fund Indices -- Methodology and Empirical Results -- Multivariate Cointegration Analysis -- VEC Granger Causality -- Variance Decompositions (VDC) -- Impact of the 2008-2009 Financial Crisis -- Concluding Remarks -- References -- Appendix: Test for Structural Breaks. , Part III: Looking Ahead.

Additional Edition: ISBN 1-78635-452-7

Language: English