June '2020


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

It is a quarterly journal that focuses on identifying Financial risk in Capital/Debt/Forex markets and their management models; Derivatives as Price Discovery Tools and Hedging devices; Hedging techniques; Asset-liability management; Organizational culture, Risk-bearing capacity and Leadership role in management of risk. The journal provides a platform for cutting-edge research in the field of financial risk management.

Privileged access to Online edition for Subscribers.

Focus Areas
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
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Article   Price (₹) Buy
Bond Valuation: Modeling Downgrade Risk and Default Risk Based on Rating Migration Variation as Uncertainty Over the Investment Horizon Through Optimization
50
An Analysis of Factors Affecting Corporate Risk Management with Special Reference to Power Finance Corporation
50
ELG Proposition in South Asian Countries - Panel Data Analysis
50
     
Contents : (June '20)

Bond Valuation: Modeling Downgrade Risk and Default Risk Based on Rating Migration Variation as Uncertainty Over the Investment Horizon Through Optimization
Brian Barnard

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices) by allowing variation in the rating migration matrix, as opposed to variation of the rating migration matrix. This is seen as a more accurate and practical modeling of downgrade risk and default risk, as including rating migration uncertainty. Rather than stating a number of possible rating migration matrices, commonly representing certain scenarios, each entry of the rating migration matrix is allowed to vary by a certain extent. The resultant price probability distribution is delineated by searching the minimum and maximum possible price through optimization. The study models bond value of individual issues as well as portfolios. The cost of downgrade or default is delineated by calculating possible future bond or portfolio prices at a certain point in time, and comparing the output price probability distributions with conventional bond valuation model prices. Because variation in the rating migration matrix is permitted, the model is better able to account for and discount the cost of downgrade or default. The outcome of the study suggests that rating migration uncertainty and variation, as a component of default risk and downgrade risk, may very well be a significant factor of bond value. Prices calculated in this way may deviate from conventional prices. Furthermore, portfolios do not necessarily diversify price uncertainty and variation due to rating migration uncertainty and variation.


© 2020 IUP. All Rights Reserved.

Article Price : ? 50

An Analysis of Factors Affecting Corporate Risk Management with Special Reference to Power Finance Corporation
Ritu Wadhwa

Enterprise Risk Management (ERM) or Corporate Risk Management (CRM) is a concept which has been recently introduced. The approach has already been gregariously adapted by companies, banks, and financial and non-financial institutions to create a risk cover against the turbulences of tomorrow. The ability to manage risks across geographies, products, asset classes, customer segments and functional departments is of prime importance. Any failure to keep a check on these risks can lead to a serious damage to the continuity of the business. Power Finance Corporation (PFC) has identified the top 21 risks in its external and internal environment. Out of these 21 risks, 8 are quantifiable and 13 are non-quantifiable risks. The company has in place a vigilant committee consisting of professional and experienced people to consistently monitor the risk policies and make sure that the policies are revised to match the changing face of the power sector. The present study focuses on the effectiveness of ERM policies in the context of PFC. The various risks associated with PFC are credit risk, liquidity risk, market risk, operational risk, exchange rate risk on external borrowings, legal risk, risks due to change in prevailing statutes and interest rate risk associated with floating rate of interest.


© 2020 IUP. All Rights Reserved.

Article Price : ? 50

ELG Proposition in South Asian Countries - Panel Data Analysis
Amit Kundu and Anil Kumar Goyal


© 2020 IUP. All Rights Reserved.

Article Price : ? 50

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