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Head of Corporate Finance Research Center, Dr., tenured professor
The book focuses on topical issues connected with the evaluation and modeling of financial risks in emerging markets. The contributing authors present results and methodologies related to credit and market risks, integrated and payment risks as well as systemic risk and innovations in risk management and banking.
The objective of the book is to analyze and demonstrate current trends in financial risks assessment and measurement in emerging markets. To achieve this goal, we document the features of risk measurement in developing countries and apply relevant approaches to financial risk analysis for emerging financial markets. In particular, the experience of Russia, China, Brazil, Belarus, and some other countries is put into the spotlight. Besides, we cover such issues as financial contagion and system risk, which present a significant challenge to contemporary risk management.
All these aspects are investigated at the level of financial institutions and at the aggregate macro-financial level, making our approach comprehensive and the book truly unique in comparison with other books on similar topics.
The authors’ team consists of specialists from public and private banks, rating and consulting agencies and leading universities around the world. Each of them makes a huge impact on the results of the book, which builds on the original materials presented at international conferences and workshops where mentioned topics are discussed. The book will be interesting for students, researchers and practitioners in banking and other financial activities.
The structure of the book
Part I Banks in emerging markets:
• Peculiarities and Trends of Banking Systems Development
• Regulation of Financial Risks in Emerging Markets in 21st Century
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 Estimating and managing financial risks: actual trends in emerging capital markets:
• Joint assessment of costs and benefits of macroprudential measures and calibration of early warning systems
• Stress-testing for the Adequacy of International Currency Reserves
• Regulatory measures against systemic risk in banking sector: the evidence for the Republic of Belarus
• Real economic factors 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 model for estimation of retail payments risk: Russian experience
The editorial board of this book issue:
The team consists of more than 25 specialists from state and private banks, rating agencies and consulting companies, as well as from leading universities of the world and Russia.