|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Overview
|
|
|
|
Read This Document
|
|
|
|
Meet The Authors
|
|
|
|
Papers by Same Organization
|
|
|
|
|
| |
This paper analyses the effectiveness of a sample of 36 large commercial banks across 8 MENA countries’ risk management policy between 2000 and 2005. Regional banks are increasingly exposed to a wide range of financial risks, such as interest rate risk, foreign exchange risk, credit risk and derivative risk. Because derivative transactions magnify the impact of traditional risk channels, it is critical to assess the exposure of large MENA banks to the volatility of their underlying risk divers. Hence, the objective of this study is to identify what exposure commercial banks have with respect to individual risk buckets, particularly as their derivative activities are expanding. This analysis will yield three immediate results:
- how the bank systematic risk vary across countries
- within each country, how do investors assess the risk of each institution, and rank them
- how significant is a bank exposure to the volatility of the equity market, interest rates and foreign exchange rates
The results of the study show the following:
- the exchange rate betas are generally negative suggesting that the banks profits suffer during periods of currency depreciation
- the interest rate betas are mixed across the countries
- the sample is diverse and includes countries with significant resemblance in terms of governance, legislation, size, taxation, and market structure
Overall the results indicate that the current managerial and regulatory interest in VAR modeling is justified because the technique is able to capture important risk differences between banks and countries. The results of this study support the growing body of evidence that when properly constructed, VAR measures can be an effective tool for commercial bank risk management.
GDNet originated |
Download Full Text
This URL might direct you to other sources that GDN is not responsible for |
|
|
|
|
USA
Professor, Pepperdine University, USA
|
|
|
|
|
|
|
|
|
|
|
| Assessing macro-financial linkages in Egypt focusing on the relationship between different macroeconomic aggregates and loan portfolio quality in a multivariate framework |
| By Love, I.; Ariss, R., 2013 |
| Produced by: Economic Research Forum (ERF) |
|
| Countries: Egypt |
| Themes: Domestic Resource Mobilization, Macroeconomics and Economic Growth |
|
|
|
|
|
|
|
|
|
| Analyzing the evolution of banking performance in Turkey |
| By Davutyan, N.; Yildirim, C, 2013 |
| Produced by: Economic Research Forum (ERF) |
|
| Countries: Turkey |
| Themes: Law and Rights |
|
|
|
|
|
|
|
|
|
| Identifying potential determinants of Accounting Information System (CIS) characteristics for SMEs |
| By Nouir, Y.; Mensi, S., 2013 |
| Produced by: Economic Research Forum (ERF) |
|
| Countries: Tunisia |
| Themes: Information & Communications Technology (ICT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
 |
|
