Risk management in emerging markets:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Palgrave Macmillan
2005
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Centre for the Study of Emerging Markets series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XV, 167 S. graph. Darst. |
| ISBN: | 1403991537 9781403991539 |
Internformat
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| 245 | 1 | 0 | |a Risk management in emerging markets |c ed. by Sima Motamen-Samadian |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a New York [u.a.] |b Palgrave Macmillan |c 2005 | |
| 300 | |a XV, 167 S. |b graph. Darst. | ||
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| 490 | 0 | |a Centre for the Study of Emerging Markets series | |
| 500 | |a Includes bibliographical references and index | ||
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| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 4 | |a Entwicklungsländer | |
| 650 | 4 | |a Risk management |z Developing countries | |
| 650 | 4 | |a Securities |z Developing countries | |
| 650 | 4 | |a Asset-liability management |z Developing countries | |
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Datensatz im Suchindex
| _version_ | 1804135248597876736 |
|---|---|
| adam_text | Contents
List of Figures and Tables vii
Preface xl
Acknowledgements xlil
Notes on the Contributors xv
1 Introduction 1
Sima Motamen Samadian
2 Risky Production and Hedging in Emerging Markets 5
Octave fokung
3 An Analytical Study of Option Greeks on Derivative
Markets in India 17
Devendra G. Kodwani
4 Global Asset Allocation: Risk and Return Trade off on
Emerging Stockmarkets 35
Mohamed Derrabi and Michel Leseure
5 Random Walk in Emerging Markets: A Case Study of the
Karachi Stock Exchange 57
Orla Gough and AH Malik
6 Insiders Market Timing and Real Activity: Evidence From
an Emerging Market 71
Tomasz Piotr Wisniewski
v
vi Contents
7 Trading Risk Management: Practical Applications to
Emerging Markets 91
Mazin A.M. Al Janabi
8 Value at Risk: Does it Work in Emerging Markets? 137
Chuntao Yu, Bob Davidson and Mohamed Nurullah
Index 165
List of Figures and Tables
Figures
3.1 Daily average turnover in the derivatives segment of the
National Stock Exchange, India 18
3.2 Growth in the derivatives segment of the National Stock
Exchange, India 18
3.3 Actual and theoretical premiums on Nifty index calls 25
3.4 Implied volatility on index call option expiring
30 August 2001, K = 1,180 30
3.5 Implied volatility on index call option expiring
28 March 2002, K = 1,180 30
4.1 The efficient frontier based on the weekly indices of
emerging markets and developed markets 46
6.1 Orthogonized impulse responses of variables to shocks
in equations 82
8.1 Selecting models for normal market risk 159
8.2 Selecting models for abnormal market risk 160
Tables
3.1 Historical volatility estimates of the underlying index 22
3.2 91 day Government of India treasury bill yields 23
3.3 Expiry dates and exercise prices on Nifty Index options
used in this study 23
3.4 Option Greeks: equations used for calculations on call
options 24
3.5 Call premiums, volatilities and option Greeks on nifty
index call options 26
3.6 Delta estimates and the likelihood of index call options
being in the money on expiration 32
4.1 Analysis of the stock exchange markets of the sample 42
4.2 Coefficients of correlation between stockmarkets 45
4.3 Application of the global market model to emerging and
industrialized markets 50
vii
viii List of Figures and Tables
5.1 Results of the Dickey Fuller unit root test 66
5.2 Results of the autocorrelation test 66
5.3 Results of the day of the week effect 67
6.1 Descriptive statistics 75
6.2 Granger causality tests 80
6.3 Three variable innovation accounting 84
7.1 Quantitative analysis data: daily volatility, beta,
skewness and kurtosis 113
7.2 Quantitative analysis data: annual volatility, beta,
skewness and kurtosis 114
7.3 Quantitative analysis data: exact correlation matrix 115
7.4 Quantitative analysis data: correlation 1 matrix 116
7.5 Quantitative analysis data: correlation 0 matrix 117
7.6 Equity trading risk management report
(analysis of case 1) 119
7.7 Equity trading risk management report
(analysis of case 2) 121
7.8 Equity trading risk management report
(analysis of case 3) 122
7.9 Equity trading risk management report
(analysis of case 4) 123
7.10 Equity trading risk management report
(analysis of case 5) 124
7.11 Equity trading risk management report
(analysis of case 6) 125
7.12 Equity trading risk management report
(analysis of case 7) 127
7.13 Equity trading risk management report
(analysis of case 8) 128
7.14 Equity trading risk management report
(VaR limits settings, case 1) 129
7.15 Equity trading risk management report
(VaR limits settings, case 2) 130
7.16 Equity trading risk management report
(VaR limits settings, case 3) 131
7.17 Equity trading risk management report
(VaR limits settings, case 4) 132
8.1 A brief summary of current market risk measures 138
8.2 An overview of the three main VaR methodologies 140
List of Figures and Tables ix
8.3 A summary of the key strengths and weaknesses of three
VaR methodologies 141
8.4 Responses to question 1 143
8.5 Responses to question 2 143
8.6 Responses to question 3 144
8.7 Responses to question 4 145
8.8 Responses to question 5 146
8.9 Responses to question 6 146
8.10 Statistical results of questions 7 and 8 147
8.11 Statistical results of Q9 149
8.12 Responses to question 10 150
8.13 Responses to question 11 151
8.14 Responses to question 12 151
8.15 Responses to question 13 152
8.16 Responses to question 14 152
8.17 Responses to question 15 153
8.18 Responses to question 16 153
|
| adam_txt |
Contents
List of Figures and Tables vii
Preface xl
Acknowledgements xlil
Notes on the Contributors xv
1 Introduction 1
Sima Motamen Samadian
2 Risky Production and Hedging in Emerging Markets 5
Octave fokung
3 An Analytical Study of Option Greeks on Derivative
Markets in India 17
Devendra G. Kodwani
4 Global Asset Allocation: Risk and Return Trade off on
Emerging Stockmarkets 35
Mohamed Derrabi and Michel Leseure
5 Random Walk in Emerging Markets: A Case Study of the
Karachi Stock Exchange 57
Orla Gough and AH Malik
6 Insiders' Market Timing and Real Activity: Evidence From
an Emerging Market 71
Tomasz Piotr Wisniewski
v
vi Contents
7 Trading Risk Management: Practical Applications to
Emerging Markets 91
Mazin A.M. Al Janabi
8 Value at Risk: Does it Work in Emerging Markets? 137
Chuntao Yu, Bob Davidson and Mohamed Nurullah
Index 165
List of Figures and Tables
Figures
3.1 Daily average turnover in the derivatives segment of the
National Stock Exchange, India 18
3.2 Growth in the derivatives segment of the National Stock
Exchange, India 18
3.3 Actual and theoretical premiums on Nifty index calls 25
3.4 Implied volatility on index call option expiring
30 August 2001, K = 1,180 30
3.5 Implied volatility on index call option expiring
28 March 2002, K = 1,180 30
4.1 The efficient frontier based on the weekly indices of
emerging markets and developed markets 46
6.1 Orthogonized impulse responses of variables to shocks
in equations 82
8.1 Selecting models for normal market risk 159
8.2 Selecting models for abnormal market risk 160
Tables
3.1 Historical volatility estimates of the underlying index 22
3.2 91 day Government of India treasury bill yields 23
3.3 Expiry dates and exercise prices on Nifty Index options
used in this study 23
3.4 Option Greeks: equations used for calculations on call
options 24
3.5 Call premiums, volatilities and option Greeks on nifty
index call options 26
3.6 Delta estimates and the likelihood of index call options
being in the money on expiration 32
4.1 Analysis of the stock exchange markets of the sample 42
4.2 Coefficients of correlation between stockmarkets 45
4.3 Application of the global market model to emerging and
industrialized markets 50
vii
viii List of Figures and Tables
5.1 Results of the Dickey Fuller unit root test 66
5.2 Results of the autocorrelation test 66
5.3 Results of the day of the week effect 67
6.1 Descriptive statistics 75
6.2 Granger causality tests 80
6.3 Three variable innovation accounting 84
7.1 Quantitative analysis data: daily volatility, beta,
skewness and kurtosis 113
7.2 Quantitative analysis data: annual volatility, beta,
skewness and kurtosis 114
7.3 Quantitative analysis data: exact correlation matrix 115
7.4 Quantitative analysis data: correlation 1 matrix 116
7.5 Quantitative analysis data: correlation 0 matrix 117
7.6 Equity trading risk management report
(analysis of case 1) 119
7.7 Equity trading risk management report
(analysis of case 2) 121
7.8 Equity trading risk management report
(analysis of case 3) 122
7.9 Equity trading risk management report
(analysis of case 4) 123
7.10 Equity trading risk management report
(analysis of case 5) 124
7.11 Equity trading risk management report
(analysis of case 6) 125
7.12 Equity trading risk management report
(analysis of case 7) 127
7.13 Equity trading risk management report
(analysis of case 8) 128
7.14 Equity trading risk management report
(VaR limits settings, case 1) 129
7.15 Equity trading risk management report
(VaR limits settings, case 2) 130
7.16 Equity trading risk management report
(VaR limits settings, case 3) 131
7.17 Equity trading risk management report
(VaR limits settings, case 4) 132
8.1 A brief summary of current market risk measures 138
8.2 An overview of the three main VaR methodologies 140
List of Figures and Tables ix
8.3 A summary of the key strengths and weaknesses of three
VaR methodologies 141
8.4 Responses to question 1 143
8.5 Responses to question 2 143
8.6 Responses to question 3 144
8.7 Responses to question 4 145
8.8 Responses to question 5 146
8.9 Responses to question 6 146
8.10 Statistical results of questions 7 and 8 147
8.11 Statistical results of Q9 149
8.12 Responses to question 10 150
8.13 Responses to question 11 151
8.14 Responses to question 12 151
8.15 Responses to question 13 152
8.16 Responses to question 14 152
8.17 Responses to question 15 153
8.18 Responses to question 16 153 |
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| spelling | Risk management in emerging markets ed. by Sima Motamen-Samadian 1. publ. New York [u.a.] Palgrave Macmillan 2005 XV, 167 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Centre for the Study of Emerging Markets series Includes bibliographical references and index Effectenhandel gtt Risk management gtt Entwicklungsländer Risk management Developing countries Securities Developing countries Asset-liability management Developing countries Risikomanagement (DE-588)4121590-4 gnd rswk-swf Schwellenländer (DE-588)4053920-9 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2004 London gnd-content Schwellenländer (DE-588)4053920-9 g Risikomanagement (DE-588)4121590-4 s DE-604 Motamen-Samadian, Sima Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014728549&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management in emerging markets Effectenhandel gtt Risk management gtt Entwicklungsländer Risk management Developing countries Securities Developing countries Asset-liability management Developing countries Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4053920-9 (DE-588)1071861417 |
| title | Risk management in emerging markets |
| title_auth | Risk management in emerging markets |
| title_exact_search | Risk management in emerging markets |
| title_exact_search_txtP | Risk management in emerging markets |
| title_full | Risk management in emerging markets ed. by Sima Motamen-Samadian |
| title_fullStr | Risk management in emerging markets ed. by Sima Motamen-Samadian |
| title_full_unstemmed | Risk management in emerging markets ed. by Sima Motamen-Samadian |
| title_short | Risk management in emerging markets |
| title_sort | risk management in emerging markets |
| topic | Effectenhandel gtt Risk management gtt Entwicklungsländer Risk management Developing countries Securities Developing countries Asset-liability management Developing countries Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Effectenhandel Risk management Entwicklungsländer Risk management Developing countries Securities Developing countries Asset-liability management Developing countries Risikomanagement Schwellenländer Konferenzschrift 2004 London |
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