Measurement Models for Market Risk Management in Nigeria

Authors

  • Adeola Kudirat Banjo
     Department of Actuarial Science, Lagos State University of Science and Technology, (LASUSTECH), Lagos
  • Omotayo Johncally Abere
     Department of Actuarial Science and Insurance, University of Lagos

DOI:

https://doi.org/10.15410/aijm/2022/v11i2/171517

Keywords:

Insurance Market Risk, Risk Management, Value at Risk (VaR), Volatility

Abstract

Market risk is connected with the price fluctuations and other market factor movements on four of the most important economic markets: Market of debt securities, stock market, currency market and commodity market. A major factor behind the rapid development of risk measurement and management is the high level of instability in the market in which firms operate. A volatile environment exposes firms to greater market risk and therefore provides an incentive for firms to find new and better ways of modeling the risk. This paper generally analyses the performance of different models which try to solve, estimate, measure and manage various market risks in order to derive parameters which aid good decision making.

Downloads

Download data is not yet available.

Metrics

Metrics Loading ...

Downloads

Published

2022-07-14

How to Cite

Banjo, A. K., & Abere, O. J. (2022). Measurement Models for Market Risk Management in Nigeria. ANVESHAK-International Journal of Management, 11(2), 36–64. https://doi.org/10.15410/aijm/2022/v11i2/171517

Issue

Volume 11, Issue 2, July 2022

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

References

Alexander, C. (2001). Market models: A guide to financial data analysis. John Wiley & Sons, Chichester. ISBN 9780471899754

Almgren, R., & Chriss, N. (2000). Optimal execution of portfolio transactions. Journal of Risk 3 (Winter), 2000, pp. 5–39. https://doi.org/10.21314/JOR.2001.041

Ama, G. N. (2009). Corporate risk reporting practices and their determinants: A study of selected quoted firms in Nigeria. Nigeria Research Journal of Accountancy (NRJA), 2009, Vol. 1, pp. 81–96.

Anghelache, C., Voineagu, V., Culetu, D., & Baltac, A. G. (2013). Methods, theories and models to measure market risk of the portfolio of shares. Romanian Statistical Review nr. 8.

Asika, N. (2004). Research methodology: A Process approach. Mukugamu & Brothers Enterprises, Lagos.

Banjo, A. K. (2019). Insurance Fundamentals (4th Ed.). Lagos, Nigeria: Dekinban Ventures Ltd. ISBN: 987-32959-5-0

Berkowitz, J. (2001). Testing density forecasts, with applications to risk management. Journal of Business and Economic Statistics, 2001, Vol. 19, pp. 465–474. https://doi.org/10.1198/07350010152596718

Blaauw, A. J. (2009). Market risk management in Nigeria. United bank for Africa (UBA) Plc. Accessed from www.ubagroup.com on 01/02/2022. 10:00 GMT

Danu, M. (2014). Dimension of market risk. Studies and Scientific Researches, Economics Edition, issue 19. Accessed from https:// EconPapers.repec.org/article on 20/02/2022 01:06 GMT https://doi.org/10.29358/sceco.v0i19.248

Dowd, K. (2002). An introduction to market risk management. John Wiley & Sons Ltd, Chichester.

Elton, E. J., & Gruber, M. J. (1995). Modern portfolio theory and investment analysis. Fifth Edition. New York: John Wiley and Sons, Chichester.

Emilia, M. (2010). Modelsfor analysis and assessment of market risks in banking. University of National Economy, Bulgaria. Facta Universitatis Economic Journal, 2010, Vol. 7, No 4, pp. 395–410.

Enyi, P., & Adebawo, O. (2014). Impact of risk exposures on the market value of Nigerian Banks (2006-2012). America International Journal of Contemporary Research, 4(10).

Hubbard, D. (2009). The failure of risk management. John Willey & and Sons, pp. 46.

Jamshidian, F., & Zhu, Y. (1997). Scenario simulation: Theory and Methodology. Finance and Stochastics, 1997, Vol. 1, pp, 43–67. https://doi.org/10.1007/s007800050016

Kallestrap, R. (2012). The dynamics of bank and sovereign credit risk. [PhD Thesis] at the Copenhagen Business School and the Central Bank of Denmark. Retrieved from National Banken.dk/c1256BE9…strup_phd_Thesis_2012.pdf 9/12/21,10:10GMT

Kato, T., & Yoshiba, T. (2000). Model risk and its control. Bank of Japan Institute for Monetary and Economic Studies: Discussion Paper No. 2000-E-15.

Langrin, R. B., & Roach, K. (2009). Measuring the effects of concentration and risk on bank returns: Evidence from a panel individual loan portfolio in Jamaica. Business, Finance and Economics in Emerging Economies, 2009, Vol. 4, No. 1, pp. 74–119.

Mandelbrot, B., & Richard, H. (2006). The misbehavior of Market: A fractal view of financial turbulence.

Navarrete, E. (2006). Practical calculation of expected and unexpected losses in operational risk by simulation methods. Scalar Consulting, October 2006, Vol. 1, No. 1, pp. 1-12.

Scaillet, O. (2000). Non-parametric estimation and sensitivity analysis of expected shortfall. Mimeo. IRES, Catholic University of Louvain.

Zhang, Y. (2006). A portfolio theory of market risk load. Causality Actuarial Society Forum.