ANVESHAK-International Journal of Management

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Measurement Models for Market Risk Management in Nigeria


Affiliations
1 Department of Actuarial Science, Lagos State University of Science and Technology, (LASUSTECH), Lagos, Nigeria
2 Department of Actuarial Science and Insurance, University of Lagos, Nigeria
     

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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.


Keywords

Insurance Market Risk, Risk Management, Value at Risk (VaR), Volatility
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  • Measurement Models for Market Risk Management in Nigeria

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Authors

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

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.


Keywords


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

References





DOI: https://doi.org/10.15410/aijm%2F2022%2Fv11i2%2F171517