Full Description
This book describes various approaches in modelling financial risks and compiling ratings. Focusing on emerging markets, it illustrates how risk assessment is performed and analyses the use of machine learning methods for financial risk assessment and measurement. It not only offers readers insights into the differences between emerging and developed markets, but also helps them understand the development of risk management approaches for banks. Highlighting current problems connected with the evaluation and modelling of financial risks in the banking sector of emerging markets, the book presents the methodologies applied to credit and market financial risks and integrated and payment risks, and discusses the outcomes. In addition it explores the systemic risks and innovations in banking and risk management by analyzing the features of risk measurement in emerging countries. Lastly, it demonstrates the aggregation of approaches to financial risk for emerging financial markets, comparing the experiences of various countries, including Russia, Belarus, China and Brazil.
Contents
Part I: Banks in Emerging Markets.- Peculiarities and Trends of Banking Systems Development.- Regulation of Financial Risks in Emerging Markets: Past, Present and Future.- Part II: Ratings and Risk Measuring.- Principles of Rating Estimation in Emerging Countries.- Aggregation of Rating Systems for Emerging Financial Markets.- Part III: Estimating and Modeling Credit and Market Risks in Banking.- Bank Credit Risk Modeling in Emerging Capital Markets.- Loss Given Default Estimations in Emerging Capital Markets .- Comparing Bankruptcy Prediction Models in Emerging Markets.- Measures and Assessment of ALM-Risks in Banks: Case of Russia.- Forecasting and Back-Testing of Market Risks in Emerging Markets.- Integrated Risk Measurement System in Commercial Bank.- Economic Capital Structure and Banking Financial Risks Aggregation.- Part IV: Systemic Risks Modeling and Stress Testing.- Exploring the Interplay between Early Warning Systems' Usefulness and Basel III Regulation.- Does Only Volume Matter? A Stress-test for the Adequacy of International Currency Reserves for Russia.- Regulatory Measures Against Systemic Risk in Banking Sector: The Evidence for the Republic of Belarus.- Real Effects of Financial Shocks in Russia.- Part V: Estimating and Managing Financial Risks: Actual Trends in Emerging Capital Markets.- Innovation in Developing Countries Risk Estimation and Management.- Dynamic Fractal Asset Pricing Model for Financial Risk Evaluation.- Network Effects in Retail Payments Market: Evidence From Individuals.- Conclusion: Instruments of Financial Sustainability in Emerging Markets.
