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Welcome to 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
A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency
Transmission of Stock Price Movement: An Empirical Analysis of BRIC Nations for the Post-2008 Financial Crisis Period
The Impact of Changes in Credit Ratings on Stock Returns
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A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency

--Ranajit Chakraborty and Rahuldeb Das

This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three nonagricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.

Article Price : Rs.50

Transmission of Stock Price Movement: An Empirical Analysis of BRIC Nations for the Post-2008 Financial Crisis Period

--Rajneesh Prakash Verma and Poonam Rani

The paper attempts to investigate the linkage among BRIC nations after the global financial crisis of 2008. Literature indicates that a large number of studies have addressed issues like regional and global market integration of India, integrating the relationship of BRIC nations with other developed economies, but relationship among BRIC nations is far from over. The analysis in the present study has been carried out in two stages. In the first stage, long-run and short-run linkages among BRIC market indices are analyzed using Johansen cointegration method and Sim’s Vector Autoregression (VAR) model. In the second stage, the linkages are investigated using a VAR model through Toda and Yamamoto (1995) version of Granger non-causality test and forecasted error variance decomposition as well as impulse response. Investigating the short-run causal relationship among market indices revealed how much of the forecast error variance of NIFTY market return can be explained by exogenous innovation to the other BRIC markets. The results of causality among BRIC stock markets indicate that only Brazilian market has a unidirectional causality on Indian stock market. The findings also suggest that return in Indian stock market (NIFTY) is largely affected by its own innovation, and innovations in other BRIC stock markets do not dominate in the case of Indian stock market.

Article Price : Rs.50

The Impact of Changes in Credit Ratings on Stock Returns

--B G Poornima, Naik Priyanka Umesh and Y V Reddy

This study broadly investigates the impact of changes in credit ratings of companies on the share prices of the mid-cap and small cap Indian companies, using event study methodology for a window period of 40 days. Specifically, the study investigates whether the investors respond strongly to the changes in the ratings of the companies and tests whether there is any significant difference in the value of the share prices before and after the announcement dates of credit ratings. The study considers a sample of 12 mid-cap and 12 small cap companies listed in the Bombay Stock Exchange for the period 2010-2014 to investigate the aforesaid issue. The study concludes that there is a significant impact of rating upgrades and downgrades on the stock returns of the investors. The impacts of such announcements are more pronounced near the announcement date and far off dates as well. Thus, the study observes that the rating announcements have an immediate and long-term significant impact on firms’ share prices. The impacts of downgrade announcements on companies’ share prices are observed to be more prominent than the upgrade announcements.

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.