Abstract
Estimating and controlling risks has become a vital topic in financial institutions (Bouchaud, 2000; Mulvey et al., 1996). All financial intermediaries (FIs) entail the assumption, management and pricing of risk (Cornett and Saunders, 1999). Risk facing financial intermediations, in this broader sense, encompasses credit risk, market risk, liquidity risk, gearing risk, solvency risk, operational risk and sovereign risk (Bessis, 2001; Santemero and Babbel, 1996; Sinkey, 2002; Thygerson, 1995). Among these different risk issues and categories, market risk is a central risk faced by financial institutions (Bessis, 2001; Cornett and Saunders, 1999; Heffernan, 1996; Santomero, 1997), and there are a number of models that are currently employed by various financial institutions to measure it; Table 8.1 gives a brief outline of the measurement of market risk.
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© 2005 Chuntao Yu, Bob Davidson and Mohamed Nurullah
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Yu, C., Davidson, B., Nurullah, M. (2005). Value at Risk: Does it Work in Emerging Markets?. In: Motamen-Samadian, S. (eds) Risk Management in Emerging Markets. Centre for the Study of Emerging Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230596368_8
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DOI: https://doi.org/10.1057/9780230596368_8
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