Risk Management in Emerging Markets: Issues, Framework, and Modeling

by Sabri Boubaker (Editor), Bonnie Buchanan (Editor), Duc Khuong Nguyen (Editor)

Overview

Academic finance research has shown that emerging markets still suffer from a myriad of risks such as credit, operational, market, legal and exchange rate risks. The onset of the subprime crisis 2007, the global financial crisis 2008-2009, and the Eurozone public debt crisis since the end of 2009 has brought to the light a number of emerging markets facing tumbling currencies, rising inflation, slowing growth, heavy dependence on foreign capital, and high levels of vulnerability to external shocks due to increased market integration. This context calls for not only a reconsideration of recent risk assessment models and risk management practices, but also the improvement and innovation of these models and practices. Factors such as liquidity, tail dependence, comovement, contagion, and timescale interactions have thus to be part of an integrated risk assessment and management framework. This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises and the design of risk management models.

Product Details

ISBN-13:	9781786354525
Publisher:	Emerald Group Publishing Limited
Publication date:	10/04/2016
Pages:	752
Product dimensions:	5.98(w) x 9.02(h) x 0.59(d)

About the Author

Sabri Boubaker is Associate Professor of Finance at Champagne School of Management (Groupe ESC Troyes en Champagne, France) and Research Fellow at the Institut de Recherche en Gestion (University of Paris Est) Bonnie Buchanan is the Howard Bosanko Professor of Economics and Finance at the Albers School of Business and Economics, Seattle University

Table of Contents

About the Editors ix

About the Authors xiii

Preface xxxv

Foreword xxxvii

Part I Framework

1 Realized Volatility of the Spread: An Analysis in the Foreign Exchange Market Emawtee Bissoondoyal-Bheenick Robert Brooks Shimon Treepongkaruna Marvin Wee 3

2 Global Responsibility and Risks of Compliance Failure in Emerging Markets Daniela M. Salvioni Francesco Gennari Luisa Bosetti 37

3 The Dynamics of Value Comovement across Global Equity Markets Jan Novotný Mayank Gupta 79

4 The Adoption of Political Risk Assessment in Emerging Markets John R. Anchor Hana Benesova 121

5 Rethinking Framework of Integrated Interest Rate and Credit Risk Management in Emerging Markets Mariya Gubareva Maria Rosa Borges 143

6 Auditing Bank Financial Statements in Emerging Market Countries: The Use of the Benford Distribution Denis Davydov Steve Swidler 187

7 Emerging Markets Carry Trades and Financial Crises Ehab Yamani 201

8 Risk Management in Islamic Banking: An Emerging Market Imperative Mahfod Aldoseri Andrew C. Worthington 229

9 Value at Risk Prediction under Illiquid Market Conditions: A Comparison of Alternative Modeling Strategies Mazin A.M. Al Janabi 253

Part II Applications and Case Studies

10 Enterprise Risk Management and Bank Performance: Evidence from Eastern Europe during the Financial Crisis Francesca Battaglia Franco Fiordelisi Ornella Ricci 295

11 The Informational Content of Issuer Credit Rating Changes in Emerging Stock Markets: Evidence from China Haoshen Hu Jörg Prokop 335

12 How Should Banks Support SMEs to Manage Funding Risks in China? The Role of Relationship Banking Yajing Liu Kenya Fujiwara Toshiki Jinushi Nobuyoshi Yamori 365

13 Risk Management in a Transition Economy: The Chilean Case Franco Parisi Sherwood Clements Edinson Cornejo 399

14 Regional Integration and Risk Management of African Stock Markets Takashi Matsuki Kimiko Sugimoto Yushi Yoshida 423

15 Foreign Currency Borrowing in Hungary: The Pricing Behavior of Banks Zoltán Schepp Mónika Mátrai-Pitz 469

16 Intraday Volatility Smiles, Day of the Week Effect, and Risk Management at Borsa Istanbul Stock Exchange A. Can Inci 505

17 Dynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets Roland Füss Dieter G. Kaiser Felix Schindler 543

Part III Looking Ahead

18 How International Standards Apply to Emerging Countries? Jocelyn Grira Chiraz Labidi 587

19 Market Concentration and Bank Competition in Emerging Asian Countries Hanh Thi My Phan Kevin Daly 607

20 Possible Unintended Consequences of Basel III on Emerging Markets and Developing Economies: Assessment of Stressed VaR and Effects on Banks' Investment Decisions Alberto Burchi Duccio Martelli 645

21 Before and after the Crisis: A Look at the SMEs in Emerging Economies Elmas Yaldiz Hanedar Avni Önder Hanedar 683

Index 701

Editorial Reviews

This collection reports the responses of emerging markets to the recent financial crises, the effectiveness of risk management practices, and the design of new risk management models. The 21 essays investigate the determinants of the volatility of spread in the foreign exchange market, propose a new approach to political risk assessment in emerging markets, and consider the possible unintended consequences of Basel III on emerging and developing economies. Case studies assess the stock market impact of credit rating changes by Chinese rating agencies, the implications of regional integration for African stock markets, and the high rate of foreign currency borrowing in Hungary.

Annotation ©2016

This collection reports the responses of emerging markets to the recent financial crises, the effectiveness of risk management practices, and the design of new risk management models. The 21 essays investigate the determinants of the volatility of spread in the foreign exchange market, propose a new approach to political risk assessment in emerging markets, and consider the possible unintended consequences of Basel III on emerging and developing economies. Case studies assess the stock market impact of credit rating changes by Chinese rating agencies, the implications of regional integration for African stock markets, and the high rate of foreign currency borrowing in Hungary.

Annotation ©2016