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Welcome to The IUP Journal of Financial Risk Management


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.

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Editorial Board
Information to Authors
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
The Risk Level of Vietnam Non-Banking Investment and Financial Services Industry Under Financial Leverage During and After the Global Financial Crisis (2007-2011)
Impact of Ethical Screening on Investment Performance in India
A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank
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The Risk Level of Vietnam Non-Banking Investment and Financial Services Industry Under Financial Leverage During and After the Global Financial Crisis (2007-2011)

-- Dinh Tran Ngoc Huy

This paper estimates the impact of external financing on market risk for the listed non-banking financial services firms on the stock exchanges of Vietnam, especially during and after the global financial crisis (2007-2011). First, by using quantitative and analytical methods to estimate asset and equity beta of 10 listed companies in Vietnam non-banking financial services industry with a proper traditional model, the paper finds that the beta values, in general, for many institutions are acceptable. Second, under three different scenarios of changing leverage (i.e., as in 2011 financial reports, increased up to 30%, and decreased to 20%), it shows that the risk level, measured by equity and asset beta mean, decreases when leverage is increased to 30% of the current value and increases when leverage is decreased to 20% of the current value. Third, by changing leverage in three scenarios, it is observed that the dispersion of risk level (measured by asset beta variance) increases from 0.169 to 0.207, when leverage is increased up to 30%. Finally, the findings of this paper could provide companies and government more evidence in formulating their policies in this regard.

Article Price : Rs.50

Impact of Ethical Screening on Investment Performance in India

--Hemlata Chelawat and I V Trivedi

Ethical investment means integrating investment decisions with concerns for the environment and society. It is broadly about management of financial resources in a responsible way that maximizes financial returns together with social and environmental good. Interest in ethical finance has been growing in the investor community around the world. Despite the growing interest of investors and institutions, the integration of environmental and social values in investment decision making remains a debatable issue. The key issue in the debate is the relationship between corporate environmental and social performance and financial performance. Traditional investment theories do not consider these criteria and base their investment decisions exclusively on risk-adjusted return. This paper analyzes the risk-return performance of a portfolio in which portfolio selection is based on multidimensional criteria, i.e., it uses Environmental, Social and Governance (ESG) criteria in addition to traditional criteria of risk and return. It is the first study which attempts to analyze the performance of an ESG portfolio in one of the largest emerging market economies, India. The study finds that ethical investment yields superior performance as compared to benchmark portfolio, thus making a case for integration of ESG criteria in investment decisions.

Article Price : Rs.50

A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

--Fatma Chakroun and Fathi Abid

This paper presents the application of a Goal Programming (GP) model to develop an Asset Liability Management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach the objective, the paper analyzes the bank’s balance sheet for 2006 facing several conflicting goals such as solvency, liquidity, maximizing of net interest margin and increasing deposits and loans under the structural, political, and regulatory constraints. The solution of this model involves minimization of the sum deviations from the target values of goals. The results differ significantly from the current values of the bank’s balance sheet, which shows the relevance of the model and its use as a strategic planning and decision support tool. Then, a post-optimality analysis is performed to check the validity and stability of the optimal solution. Finally, forecasts of asset and liability accounts are made to maintain a long-term ALM strategy for the bank.

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.