Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two...

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk...

The promotion of an inclusive financial system is a policy priority in many countries. While the importance of financial inclusion is widely recognized, the literature lacks a comprehensive measure that can be used to measure the extent of financial inclusion across economies. This paper...

This paper analyses the trend of capital flows between India and the US during 2000–2012. The US is a major source of foreign capital in India, through both direct and portfolio investment. During this period, portfolio investment from the US to India dominated over direct investment. A...

Foreign banks in developing countries are often found to indulge in cream skimming, a lending strategy that targets only wealthy segments of the credit market and exclude small and marginal borrowers from the general pool of borrowers. This paper attempts to investigate whether lending pattern...

Using a distance-based approach, this paper proposes an index of financial inclusion (IFI) – a measure of inclusiveness of a financial system that incorporates information on various dimensions of financial inclusion in a single number lying between 0 and 1. The proposed index is easy to...

This paper constructs monthly Exchange Market Pressure index for India over the period 1992-2011. It then identifies stress events in the Indian currency markets, as represented by the extreme movements of this index using the extreme value theory approach. We show that this approach is superior...

Financial institutions rely heavily on Value-at-Risk (VaR) as a risk measure, even though it is not globally subadditive. First, we theoretically show that the VaR portfolio measure is subadditive in the relevant tail region if asset returns are multivariate regularly varying, thus allowing for...

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy...

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk...