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Value at Risk: Does it Work in Emerging Markets?

  • Chuntao Yu
  • Bob Davidson
  • Mohamed Nurullah
Part of the Centre for the Study of Emerging Markets Series book series (CSEM)

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.

Keywords

Risk Management Financial Institution Implied Volatility Market Risk Extreme Value Theory 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Chuntao Yu, Bob Davidson and Mohamed Nurullah 2005

Authors and Affiliations

  • Chuntao Yu
  • Bob Davidson
  • Mohamed Nurullah

There are no affiliations available

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