Sept '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
Has Covid-19 Infected Indian Stock Market? An Insight with Respect to NSE
50
Bond Valuation and Default Risk Reexamined: A Post Reduced Form Model Based on Integer Migration and Portfolio Migration
50
     
Contents : (Sep '20)

Has Covid-19 Infected Indian Stock Market? An Insight with Respect to NSE
Dippi Verma, Praveen Kumar Sinha and Lakshmi S R

The outbreak of Covid-19 is an unprecedented shock to the global economy. Covid-19 which has spread across the world started from Wuhan, China. Though the spread is high in USA and Europe, India is also witnessing a sharp increase in Covid-19 cases. In this context, the global lockdown, worldwide economic downturn and disruption in demand and supply are likely to bring inevitable financial crisis and slowdown. The sentiment of stock markets across the world is also gloomy. This is reflected in the frequent crashes of the stock markets in different parts of the world. However, the impact-study of Covid-19 on financial markets is still in the nascent stage. The objective of this paper is to investigate the impact of Covid-19 cases on the Indian stock markets, especially NSE, to observe the level of volatilities on a day-to-day basis or on a weekly basis. The data considered for the given study is from May 16, 2019 to May 13, 2020. The analysis is based on GARCH model, which suggests that the rise in the number of Covid cases does not have any impact on stock market returns. However, it is found that there is evidence of positive impact on the conditional variance of the Nifty 50 returns. The model is tested for autocorrelation and arch effect in residual by using correlogram test and Arch-LM test.


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Article Price : ? 50

Bond Valuation and Default Risk Reexamined: A Post Reduced Form Model Based on Integer Migration and Portfolio Migration
Brian Barnard

The study reexamines bond valuation and default risk by considering and relaxing assumptions regarding integer rating migration and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix) serves as the basis and starting point. The study subsequently moves towards a post reduced form bond valuation model by considering portfolio migration and integer migration. Portfolio migration refers to actual counts of issues migrating across rating categories between the intervals of the portfolio-the number of issues with a particular rating at a particular point in time. Integer migration considers the fact that only integer counts of issues can migrate. Both portfolio and integer migration imply more sophisticated interpretation of rating migration matrices. Portfolio migration and integer migration result in interval rating category issue count probability distributions and issue interval rating category intensity (intensity as a probability of occurrence) probability distributions, and consequently cause more sophisticated issue interval cash flow distributions to form. The resultant post reduced form model issue price results are encouraging and promising, and are briefly considered.


© 2020 IUP. All Rights Reserved.

Article Price : ? 50

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