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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

Dec'17

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
Articles
   
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The Role of Commodity Futures in Risk Management: A Study of Select Agricultural Commodities
A Study on the Performance of Large Cap Equity Mutual Funds in India
Understanding Credit Risk in Securitization and Measures to Build Effective Securitization Markets
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Contents
(December'17)

The Role of Commodity Futures in Risk Management: A Study of Select Agricultural Commodities

--K Radha and Sujatha Balakrishnan

This paper analyzes the efficiency of Indian futures market in discovering prices and mitigating risk for agricultural commodities consequential of significant price rise in recent times. Johansen’s test of cointegration, Vector Error Correction Model (VECM) and Granger causality test are employed to understand the relationship between spot and futures prices. Optimal hedge ratio and hedging effectiveness are measured using VECM. The results indicate cointegration between spot and futures prices for all the four commodities studied in near month and next to near month contracts. For near month contracts, mostly, both the markets react simultaneously and contribute to price discovery, but for next to near month contracts, futures market plays a dominant role. Hedgers benefit by participating in the futures market for all the commodities, although variance reduction is relatively higher for the near month contracts and hedging effectiveness varies across commodities. After the merger of FMC with SEBI, the regulator has been encouraging increased participation of farmers and other hedgers on commodity exchanges. The findings of the study may have important implications for hedgers, risk managers and policy makers in utilizing and improving futures market as a tool in reducing price risk.

Article Price : Rs.50

A Study on the Performance of Large Cap Equity Mutual Funds in India

--Prakash Yalavatti and Bheemanagouda

Mutual funds are best investment avenues for a large number of investors in recent days. Risk and return are the basic features of mutual fund. The present study evaluates and compares the performance of large cap equity funds of four asset management companies (L&T, DHFL Pramerica, HDFC and Principal Mutual Fund). The results of the study show that L&T India Large Cap Equity Fund outperforms the benchmark index, i.e., NSE Nifty 50, in terms of all measurement ratios. The performance of Principal Large Cap Fund and HDFC Top 200 is moderate and they also outperform the benchmark index. However, DHFL Pramerica Large Cap Equity Fund’s performance is very poor as compared to other selected funds.

Article Price : Rs.50

Understanding Credit Risk in Securitization and Measures to Build Effective Securitization Markets

--Nikhil Garg

This paper considers a renewal risk model with dividend barrier for which the claim inter-arrival time is Erlang(2) distributed. The purpose is to derive explicit expression for the barrier probability, that is, the probability of absorption by an upper barrier ‘b’, before ruin occurs. To obtain analytical results concerning this barrier probability, the claim amount distributions are considered to be either exponential or Erlang(2). Thus in the process, the paper extends the results obtained by Das and Chakrabarti (2017) for a classical risk model to a more general renewal risk model.

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.

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