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The IUP Journal of Financial Risk Management
ISSN: 0972-916X
A ‘peer reviewed’ journal indexed on Cabell’s Directory,
and also distributed by EBSCO and Proquest Database


Previous Issues

The IUP Journal of Financial Risk Management is a quarterly journal that focuses on identifying financial risk, risk management models, accounting for derivatives, risk-hedging techniques, asset liability management. The journal provides a platform for cutting edge research in the field of financial risk management.

Privileged access to Online edition for Subscribers.
Editorial Board
Information to Authors
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
The Use of OTC Derivatives by Italian Regions: For Hedging or Trading Purposes?
An Empirical Study on Stability of Beta in Indian Stock Market with Special Reference to CNX Nifty 50
Examination of Efficient Frontier Under Constraints in Indian Equity Market
A Cointegration and Causation Study of Gold Prices, Crude Oil Prices and Exchange Rates
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The Use of OTC Derivatives by Italian Regions: For Hedging or Trading Purposes?

--Giulia Fantini and Chiara Oldani

This paper discusses how the poor economic performance and the European fiscal constraints contributed to reducing the resources that the central state transfers to local administrations in Italy. The study also highlights how the Italian Ordinary Statute Regions’ (OSRs) debt has just been doubled to the tune of 57 tn between 2007 and 2014. Further, the study delineates how these regions have full legislative power over their debt and debt-related instruments and have extensively used OTC contracts to manage their growing liabilities with least regulation and control. Against this backdrop, the paper investigates whether OTC derivatives underwritten by these regions have been used as hedging tools to manage their debt exposure or just have been used as mere trading tools. However, the findings of the study confirm that most of the Italian OSRs have hedged their debt exposure with OTC derivative contracts.

Article Price : Rs.50

An Empirical Study on Stability of Beta in Indian Stock Market with Special Reference to CNX Nifty 50

--S Sathyanarayana and S N Harish

This paper investigates the stability of beta in Indian stock markets using 15 years of daily data of CNX Nifty 50 from 2000 to 2015. The Capital Asset Pricing Model (CAPM) beta is computed by using market model regression. Chow breakpoint test is used to examine the impact of the 2008 subprime crisis on the stability of beta. Unknown breakpoints are investigated in the beta series using multiple breakpoint tests on both individual stocks and portfolios. Subsequently, the CUSUM test is adopted to check for the sequential changes in the computed beta series. The results indicate that 2008 subprime crisis does not have much influence on the structure of the beta series. However, a few unknown break points are observed in different time periods. The results show that betas of portfolio as well as individual stocks vary across the study period. The beta stability plays an important role while estimating portfolio returns and the individual stock returns and in devising winning strategies. Therefore, it is highly recommended that the market participants, while using historical betas for predicting future risk of the stock and portfolio, need to be extra cautious.

Article Price : Rs.50

Examination of Efficient Frontier Under Constraints in Indian Equity Market

--A Kanagaraj and Abhinav Kumar

This paper takes into account a set of risky stocks from the Indian equity market with a view to constructing efficient frontiers and examining the optimal portfolio behavior under various constraints. The paper uses Sensex 30 stocks daily prices along with daily BSE Sensex index price data as market benchmark for 10 years starting from 2006 in constructing and optimizing portfolio with the minimum variance and maximum return under different constraints. The paper makes an attempt to identify the efficient frontiers by estimating the average return of the portfolio and iteratively minimizing the standard deviation or risk of the portfolio to the minimum possible level. It is observed that the efficient frontiers shift towards left as constraints are relaxed in its formation. So, according to the study, the most constrained efficient frontier is the one with value-at-risk at 95% and short sales not allowed. The most relaxed efficient frontier is the one with short sales allowed, as it is to the leftmost position in the combined graph created, as shifting of the efficient frontier to the left in the return-risk graph means same returns for lower levels of risk.

Article Price : Rs.50

A Cointegration and Causation Study of Gold Prices, Crude Oil Prices and Exchange Rates

--Shilpa Lodha

Using daily data for a period of nine years from May 2005 to June 2014, the present study examines the long-run and short-run interdependence between USD/INR exchange rates, gold prices and crude oil prices. The preliminary observation suggests that the three series are non-stationary at level, but stationary at first difference, which suggests possiblity of long-run interdependence between the series. Therefore, the long-run relationship is tested using Johansen cointegration test. However, the results reveal there is no long-run interdependence between the variables. The study also examines the short-run relationship using Granger causality test and VAR model. The results reveal that a bidirectional Granger causality exists between crude oil and USD/INR exchange rate, whereas unidirectional Granger causality runs from crude oil to gold price series.

Article Price : Rs.50


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Automated Teller Machines (ATMs): The Changing Face of Banking in India

Bank Management
Information and communication technology has changed the way in which banks provide services to its customers. These days the customers are able to perform their routine banking transactions without even entering the bank premises. ATM is one such development in recent years, which provides remote banking services all over the world, including India. This paper analyzes the development of this self-service banking in India based on the secondary data.

The Information and Communication Technology (ICT) is playing a very important role in the progress and advancement in almost all walks of life. The deregulated environment has provided an opportunity to restructure the means and methods of delivery of services in many areas, including the banking sector. The ICT has been a focused issue in the past two decades in Indian banking. In fact, ICTs are enabling the banks to change the way in which they are functioning. Improved customer service has become very important for the very survival and growth of banking sector in the reforms era. The technological advancements, deregulations, and intense competition due to the entry of private sector and foreign banks have altered the face of banking from one of mere intermediation to one of provider of quick, efficient and customer-friendly services. With the introduction and adoption of ICT in the banking sector, the customers are fast moving away from the traditional branch banking system to the convenient and comfort of virtual banking. The most important virtual banking services are phone banking, mobile banking, Internet banking and ATM banking. These electronic channels have enhanced the delivery of banking services accurately and efficiently to the customers. The ATMs are an important part of a bank’s alternative channel to reach the customers, to showcase products and services and to create brand awareness. This is reflected in the increase in the number of ATMs all over the world. ATM is one of the most widely used remote banking services all over the world, including India. This paper analyzes the growth of ATMs of different bank groups in India.
International Scenario

If ATMs are largely available over geographically dispersed areas, the benefit from using an ATM will increase as customers will be able to access their bank accounts from any geographic location. This would imply that the value of an ATM network increases with the number of available ATM locations, and the value of a bank network to a customer will be determined in part by the final network size of the banking system. The statistical information on the growth of branches and ATM network in select countries.

Indian Scenario

The financial services industry in India has witnessed a phenomenal growth, diversification and specialization since the initiation of financial sector reforms in 1991. Greater customer orientation is the only way to retain customer loyalty and withstand competition in the liberalized world. In a market-driven strategy of development, customer preference is of paramount importance in any economy. Gone are the days when customers used to come to the doorsteps of banks. Now the banks are required to chase the customers; only those banks which are customercentric and extremely focused on the needs of their clients can succeed in their business today.