Title: Optimising the value-at-risk model in banks in India to adequately quantify market risks in emerging markets

Authors: Fakhraddin Akhmedov; Mhd Shaker Zeitoun

Addresses: Finance and Credit, RUDN University, Moscow, Russia ' Finance and Credit, RUDN University, Moscow, Russia

Abstract: Market risk tends to be extreme in its development and violent in its impact. This study gives consideration to the case study of banks in India in optimising the value-at-risk (VaR) model in emerging markets believing that the case study of these banks is not just the story of individual banks but a window into the structural issues of the entire market risk models in emerging markets. This study uses the parametric method to optimise the value-at-risk model based on probabilities and mathematical expectations to adequately quantify the expected worst-case loss that a financial institution may sustain under normal market conditions, at a predefined confidence level, over a given time horizon and for a given asset portfolio after taking into consideration the expected recovery rate of assets. The recommendations set out in this study provide emerging markets with an optimised estimation of the value-at-risk model to adequately quantify market risk.

Keywords: emerging markets; banking; banks in India; market risk; asset portfolio; value-at-risk model; VaR; India.

DOI: 10.1504/IJEPEE.2019.104623

International Journal of Economic Policy in Emerging Economies, 2019 Vol.12 No.4, pp.337 - 347

Received: 27 Oct 2018
Accepted: 10 Mar 2019
Published online: 24 Jan 2020 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article