Index

Risk Management in Emerging Markets

ISBN: 978-1-78635-452-5, eISBN: 978-1-78635-451-8

Publication date: 29 December 2016

This content is currently only available as a PDF

Citation

(2016), "Index", Boubaker, S., Buchanan, B. and Nguyen, D.K. (Ed.) Risk Management in Emerging Markets, Emerald Group Publishing Limited, Leeds, pp. 701-705. https://doi.org/10.1108/978-1-78635-452-520161008

Publisher

:

Emerald Group Publishing Limited

Copyright © 2016 Emerald Group Publishing Limited


INDEX

Abnormal returns
, 301, 337, 347, 351, 353, 354, 360, 361, 412

Accentuated volatility
, 509, 510, 515, 516, 520, 529, 530, 532, 537, 538

Access to finance
, 684–688, 693, 697, 698

Accounting standards
, 189, 192, 403

Alpha fees
, 548, 576

Asset allocation
, 81, 110, 260, 268, 269, 276, 277, 279, 281, 284, 286, 287, 556, 558, 559, 679

Asset mispricing
, 111

Autocorrelation bias
, 551

Backfill bias
, 549

Balanced portfolio
, 547, 557, 559, 568

Bank competition
, 607–640

Bank financial statement irregularities
, 196

Bank lending
, 389

Bank performance
, 295–328, 611, 615

Basel
, 157, 309, 647

Basel III capital adequacy
, 256, 267

Benford’s Law
, 189–194, 196–199

Bid-ask spreads
, 5, 6, 13, 15, 258

Borsa Istanbul
, 505–539

BRICS
, 39, 40, 45–52, 52–54, 55

CAPE
, 80–82, 84–91, 99, 100, 108, 111

Capital control
, 11, 426, 447, 455, 456, 459, 463

Capital requirements
, 153, 156, 178, 256, 646, 647, 648, 650, 661, 663, 670, 673, 674, 675, 676, 678, 680

Carry trade
, 201–225, 479

CDS spread
, 146, 147, 149, 154, 156, 158, 166, 173, 174, 175, 176, 177

Chief Risk Officer (CRO)
, 298, 300–301, 305, 307, 327

Chinese SMEs
, 367, 369, 370, 371, 373, 374, 379, 383, 390, 391

Commercial banks
, 193, 243, 246, 491, 591, 622, 628, 636

Conduct parameter approach
, 610, 613, 614

Contagion
, 4, 89, 203, 213, 214, 507

Corporate culture
, 44, 51, 62

Corporate Finance
, 379

Corporate responsibility
, 41–44

Country risk
, 126–127, 484, 485, 488, 489, 498

Credit default swap
, 144, 470, 655

Credit rating
, 335–361, 593

Credit rating agency
, 336

Credit rationing
, 687, 694

Credit risk
, 57, 143–183, 212, 233–234, 240, 242, 243, 246, 297, 339, 340, 341, 655

Crisis
, 683–698

Cross-border listing
, 426, 429, 430, 453, 454

Currency risk
, 237, 248, 478

Day-of-the-week effect
, 508, 511, 513, 520, 537

DCC GARCH models
, 82, 83, 84, 88

Dealers
, 10, 15, 19, 25, 27

Debt pricing
, 484, 488

Debt re-pricing
, 484, 488

Default risk
, 208, 212, 213, 240, 245, 650, 688

Downgrade
, 337–339, 343, 344, 348, 351–361

Downside risk management
, 147

East Europe
, 478, 487, 495

Economic capital
, 145, 147–156, 158, 166, 178, 180, 183, 184, 254–257, 260, 261, 264, 267, 268, 269, 283, 286, 287, 289

Economic growth
, 148, 366, 424, 455, 457, 458, 498, 600, 601, 684, 687

Emerging market
, 37–72, 80, 81, 121–134, 143–184, 187–199, 201–225, 229–249, 254, 256, 257, 259, 288, 289, 299, 318, 336, 338, 400–409, 418, 420, 510, 512, 543–577, 589, 593, 594, 599, 600, 601, 603, 604, 608–610, 645–680, 686, 691

Enterprise risk management
, 124, 125, 295–328

Ethics
, 39, 45, 46, 56, 57, 60, 68

Event study
, 301, 337, 340, 344, 351

Exchange rate
, 7–10, 14, 15, 202, 204–206, 208, 211, 214, 217, 219, 400, 404, 406, 410, 471, 474–478, 481, 482, 484

Exchange rate depreciation
, 471

Financial constraints
, 684–689, 691–694, 697

Financial crisis
, 82, 84, 109, 110, 111, 146, 163, 188, 203, 206, 207, 211, 214, 215, 217, 220, 223, 224, 225, 232, 295–328, 341, 442, 471, 482, 491, 546, 548, 550, 552, 573, 576, 597, 602, 634, 646, 648, 655, 657, 677, 684, 688, 689, 691

Financial difficulty
, 374

Financial integration
, 425, 446, 455, 457, 458, 461, 463

Financial risk management
, 255, 418

Financial statement manipulation
, 192

Firm data
, 687

Fiscal burden
, 488, 491, 492, 497

Flight-to-quality
, 146, 148, 163, 214

Foreign currency indebtedness
, 474

Foreign exchange market
, 3–33, 210, 435

Fraud detection
, 189, 192, 194

Funding risks
, 365–391

GARCH models
, 435, 659–660

GCC financial markets
, 259, 260, 289

Global financial crisis
, 163, 166, 175, 182, 218, 219, 232, 299, 309, 327, 366, 368, 371, 376, 390, 423, 426, 441, 446, 447, 448, 451, 455, 463, 595, 608, 618, 622, 626, 627, 635, 637, 639, 655, 683, 684, 686, 688, 692, 693, 694, 697

Heckman two-step procedure
, 305, 326

Hedge funds
, 543–577

Impairment
, 490, 491, 492

Information asymmetries
, 370

Information opacity
, 129

Integrated risk management
, 300

Integrated risk modeling
, 152

Interest rate
, 143–184, 208, 209, 214, 217, 234, 368, 373–375, 379, 381, 389–391, 404, 406, 411, 471, 474, 478, 480–498, 608, 609, 611, 619, 622, 623, 685

Interest rate parity
, 204–207

Interest rate risk
, 132, 144–148, 150–155, 158, 166, 171, 183, 208, 233, 238, 242, 245, 300, 410

Interest rate swap
, 144, 149

Internal control
, 40, 42, 45, 51, 52, 53, 54, 57, 60

International financial reporting standards (IFRS)
, 188, 189, 191, 199

Intraday returns
, 13

Intraday volatility
, 505–539

Investment decisions
, 110, 339, 645–680

Investment strategies
, 80, 89, 544

Islamic banking
, 229–249

Istisnā
, 233, 239, 240

Leverage
, 50, 83, 129, 132, 134, 212, 244, 301

Liquidity
, 4–8, 10–15, 19, 20, 21, 25–29, 32, 33, 84, 173, 177, 194, 203, 208, 213, 233, 237, 238, 244, 259, 403, 406, 424, 476, 514, 516, 517, 565, 597, 651

Liquidity risk
, 32, 33, 156, 171, 173, 208, 210, 211, 234, 244, 254–262, 264, 266, 267, 269, 287, 288, 289

Liquidity-Adjusted Value at Risk
, 257, 278, 280, 282

Loans
, 183, 188, 192, 234, 369, 470, 476, 480, 486, 489, 497, 637, 684

Long-term relationship
, 368, 369, 375, 474, 547, 563, 564, 568, 573, 576

LTCM
, 10, 11, 23, 27, 29, 30, 550

Macroprudential approach
, 595, 604

Management fees
, 548

Marginal cost
, 609, 614, 615, 616, 621, 626, 627, 629, 634, 636

Market concentration
, 607–640

Market efficiency
, 508, 510, 651, 652

Market risk
, 10, 57, 232, 234, 259, 263, 265, 266, 488, 572, 646, 647, 648, 649, 651–655, 656, 657, 661, 673, 677

Monopolistic competition
, 609, 617, 621, 626, 629, 633, 634, 639

Mortgage equity withdrawal
, 482, 488, 492, 494, 495

Murāba’ah
, 233, 234, 238–240

Operational risk
, 57, 235, 237, 242, 244, 246, 300, 400, 407, 409, 597

Performance fees
, 548

Political risk
, 57, 121–134, 300, 404, 405, 652

Portfolio diversification
, 130, 577, 649, 667

Portfolio management
, 270, 290

Price Earning (PE) ratio
, 80

Principle-based approach
, 595, 596, 604

Probit model
, 203, 217, 219, 220, 304, 307, 309

Pure monopoly
, 609, 621, 626, 633

Quotes
, 7, 10, 12, 15, 18, 19, 25, 28, 29, 30, 149

Rating outlook
, 337, 339, 340, 353, 361

Realized skewness
, 7, 13, 14, 16, 22, 26

Realized volatility
, 3–33

Reference interest rate
, 481, 484, 485, 486, 497

Regional integration
, 423, 426, 427, 429, 432, 442, 446, 447, 448, 454, 462, 463

Regulation
, 39, 49, 52, 55, 60, 62, 66, 67, 69, 70, 71, 132, 145, 242, 244, 247, 270, 339, 404, 405, 459, 461, 486, 498, 590, 593–596, 646, 648

Relationship banking
, 365–391

Residential mortgage loan
, 482, 488, 490

Risk assessment
, 51, 54, 121–134

Risk governance
, 54, 303

Risk management
, 41, 143–183, 229–249, 295–328, 399–420, 423–463, 505–539

Risk of compliance failure
, 45, 71

Risk premia
, 545

Risk sharing
, 233, 424

Risk-adjusted performance
, 298, 305, 310, 311, 318, 319, 322, 323, 326, 327

RWA ratio
, 307, 311, 315, 316, 323

Shari’ah compliance
, 231, 233, 237, 242

Short selling
, 276, 287, 544, 545

SME
, 368, 370, 371, 692

Soft information
, 368, 369, 374, 390

Spillover index
, 434, 435, 438, 439, 440, 441, 442, 443, 448

Stakeholder protection
, 55

Stock return volatility
, 305, 307, 310–313, 318, 319, 327

Stressed-VaR
, 646, 647, 656

Structure conduct performance hypothesis
, 608, 611, 612, 637, 639

Sukuk
, 241

Survey data
, 300, 390, 391, 685, 689

Sustainability
, 58

Systemic risk
, 471, 596, 597

Transitional economy
, 410, 418

Under/overvaluation
, 80, 110

Unilateral contract modification
, 480, 486, 496

Upgrade
, 337, 338, 343, 344, 348, 353, 360

Valuation metric
, 80, 81, 82, 84, 100, 101, 109, 110, 111

Value Portfolio
, 85, 109–111

Value spread
, 82, 84, 85, 88, 89, 101–103, 106, 108–112

Variance decomposition (VDC)
, 435, 437, 568, 570

Volatility smile
, 505–539

Xinhua Far East
, 337, 339, 340, 343, 350, 354, 361

Prelims
Part I Framework
1 Realized Volatility of the Spread: An Analysis in the Foreign Exchange Market
2 Global Responsibility and Risks of Compliance Failure in Emerging Markets
3 The Dynamics of Value Comovement across Global Equity Markets
4 The Adoption of Political Risk Assessment in Emerging Markets
5 Rethinking Framework of Integrated Interest Rate and Credit Risk Management in Emerging Markets
6 Auditing Bank Financial Statements in Emerging Market Countries: The Use of the Benford Distribution
7 Emerging Markets Carry Trades and Financial Crises
8 Risk Management in Islamic Banking: An Emerging Market Imperative
9 Value at Risk Prediction under Illiquid Market Conditions: A Comparison of Alternative Modeling Strategies
Part II Applications and Case Studies
10 Enterprise Risk Management and Bank Performance: Evidence from Eastern Europe during the Financial Crisis
11 The Informational Content of Issuer Credit Rating Changes in Emerging Stock Markets: Evidence from China
12 How Should Banks Support SMEs to Manage Funding Risks in China? The Role of Relationship Banking
13 Risk Management in a Transition Economy: The Chilean Case
14 Regional Integration and Risk Management of African Stock Markets
15 Foreign Currency Borrowing in Hungary: The Pricing Behavior of Banks
16 Intraday Volatility Smiles, Day of the Week Effect, and Risk Management at Borsa Istanbul Stock Exchange
17 Dynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets
Part III Looking Ahead
18 How International Standards Apply to Emerging Countries?
19 Market Concentration and Bank Competition in Emerging Asian Countries
20 Possible Unintended Consequences of Basel III on Emerging Markets and Developing Economies: Assessment of Stressed VaR and Effects on Banks’ Investment Decisions
21 Before and after the Crisis: A Look at the SMEs in Emerging Economies
Index