Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January...

Using data from 65 of the most actively traded stocks from the National Stock Exchange of India we study the relationship between impact cost and three indicators of market efficiency under different settlement regimes. Our data is uniquely suited for this study because it encompasses a...

The study has attempted to empirically examine the efficiency of Govt. securities auction in Indian market. It is observed that prices of the securities under auction generally move downward between the date of announcement of auction and the date of auction. The yield, duration, issue size,...

Bond Theory is an integral part of financial market. Understanding the same is essential for students entering the market for career options. There are various types of bonds and pricing logic is different for different type of bonds. The differential approach presented in this write up tries to...

In recent years, there has been renewed interest in the yield curve as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor for the Indian market. The paper tries to indicate how the yield curve spread in a government securities market may be used...

This paper analyses the India sovereign yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of zero coupon interest rates derived from government bond trading using Nelson-Siegel...

The Indian corporate bond market is still developing, and as such there are some peculiarities that might not be found in a matured market. This paper describes the state of development and key obstacles to further development. It reveals some unusual market behavior and patterns from available...