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