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emerging markets sign in to follow this
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equity sign in to follow this
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Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests
Company: Mulinational Finance Journal
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: January
Pages: 179–221
Download Count: 3
View Count: 1393
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-9-2012
Publisher: Administrator
Summary
This paper addresses a problem faced by smaller institutions operating in emerging markets, namely the significant lack of data. As many risk management techniques are data intensive, this problem may seem insurmountable. This paper introduces a new method, enriched historical simulation, which supplements the data in an emerging market with data from other markets. The principle behind this methodology is that when many markets are considered, the essence of emerging market economies comes to the fore, with local idiosyncrasies being washed out. This principle is illustrated on the problem of estimating Value-at-Risk on the Cyprus and Athens Stock Exchanges. Numerical tests show that standard models underestimate risks, but that estimates are improved significantly with the use of external data.
(volume 10, numbers 3/4)
Author(s)
Nerouppos, Marios Sign in to follow this author
Saunders, David Sign in to follow this author
Xiouros, Costas Sign in to follow this author
Zenios, Stavros Sign in to follow this author
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