Risk Assessment in Indian Financial Markets - Poornima, B. G.;Reddy, Y. V.
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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,…mehr

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Produktbeschreibung
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?
Autorenporträt
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.