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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.

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Editorial Board
Information to Authors
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
Risk, Return and Market Timing: A Conditional Performance Benchmarking Model
A Comprehensive Evaluation of Select Large Cap and ELSS Funds Using Formula Based Risk Adjusted Performance Measures
Perceptions of Bankers and Researchers Towards Effectiveness
of Basel Norms in Banking Risk Management: A Survey
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Risk, Return and Market Timing: A Conditional Performance Benchmarking Model

--Joyjit Dhar and Ram Pratap Sinha

The traditional approach of portfolio benchmarking was developed by Markowitz (1952) with his Mean-Variance (M-V) model. The emergence of Capital Asset Pricing Model (CAPM), however, led to the introduction of indices provided by Sharpe (1966), Treynor (1965) and Jensen (1968). Nevertheless, these models suffer from two major shortcomings—one is the benchmark selection process and the other is the use of linear factor models such as CAPM. Moreover, the asset-pricing models assume constant beta coefficient over the sample period under study. But if fund managers adopt active fund management strategy known as market timing (Treynor and Mazuy, 1966; and Henriksson and Merton, 1981), an estimation bias will occur in case of benchmark models which in turn will make computed measures unreliable. The present study extends the portfolio evaluation framework provided by Sharpe (1966) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. However, the present study departs from the conventional point estimation based Data Envelopment Analysis (DEA) framework. Robust bootstrap based DEA has been used in the present exercise to evaluate the conditional performance of 51 mutual fund schemes operating in India. In the second stage, the linkage between fund efficiency and market timing is explored through truncated regression analysis. The regression result does not show a statistically significant association between bootstrap efficiency scores and market timing indicator.

Article Price : Rs.50

A Comprehensive Evaluation of Select Large Cap and ELSS Funds Using Formula Based Risk Adjusted Performance Measures

--Param Raj and Rakesh Shahani

The present study makes an attempt to compare large cap schemes and the Equity Linked Savings Scheme (ELSS) of four mutual funds to determine whether investment in large cap schemes is justified from a long-term perspective or ELSS could provide an ideal substitute for these schemes especially for a tax-savvy investor. The study compared the two categories of schemes on different formula based risk adjustment performance yardsticks which included popular traditional risk adjusted measures like Sharp, Treynor and Jensen ratios and alternative risk measures (downward risk/volatility measures). The funds selected were also compared against two benchmarks; one was the popular S&P CNX Nifty and second was the S&P 500, the broader index. The data has been collected as daily returns for these funds for the five-year period April 1, 2009 to March 31, 2014. The results of the study showed that performance of large cap funds has fallen short of the performance of ELSS funds when comparison was made on the above-mentioned yardsticks. The conclusion drawn is that the ELSS funds are not merely tools of saving tax under Section 80C of the Income Tax Act but also provide fairly decent returns over the long term period, which according to our results are even higher than the otherwise popular large cap funds.

Article Price : Rs.50

Perceptions of Bankers and Researchers Towards Effectiveness of Basel Norms in Banking Risk Management: A Survey

--Swapna Samanta and Tanupa Chakraborty

Basel norms are designed to ensure safety and stability of the banking system at an international level. The norms were introduced in 1988 in the name of Basel I, which through subsequent and continuous modification has now taken the shape of Basel III. Indian banks being internationally active, are well preparing themselves to comply with the new Basel III norms. The paper tries to collect and investigate the views of bankers, researchers and experts in the field of banking risk management about the effectiveness of Basel norms for risk management in Indian banking industry.

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.