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Title:	Cost and profit efficiencies on bank market risk using value at risk and expected shortfall among Asia Pacific countries
Authors:	Mohd Fahmee Ab Hamid (P65773)
Supervisor:	Aisyah Abdul Rahman, Assoc. Prof. Dr.
Keywords:	Bank Risks Market Universiti Kebangsaan Malaysia -- Dissertations
Issue Date:	28-Feb-2018
Description:	The main business of banks is to manage risks in return for the charges paid by the customers. Over the past three decades, banks have provided a broad range of innovative financial instruments to manage the risk. The innovative instrument is engineered by transferring credit risks products to the capital markets products. The offering of innovative market products complicates the existing market structure thus increase the market risk exposure. When the market risk is not properly managed, it will reduce the earnings or valuation of the banks resulting in a capital loss. Besides managing the market risk to reduce the capital loss, the savings from efficiency could also be used to improve banks�� capital. The improvement in banks�� capital from the efficiency enables banks to absorb more risk, create higher safety and strengthen the banking industry. To better understand the nature of bank market risk, this study examines the market risk and the effect of efficiency on market risk. Using panel data, this study constructed four models to examine the relationship between market risk with (i) cost and profit efficiencies, and (ii) several bank specific variables including Early Warning Systems (EWS). The bank market risk is measured using Value at Risk (VaR) and Expected Shortfall (ES) methods. The cost and profit efficiencies are estimated using Stochastic Frontier Analysis (SFA). EWS is calculated using the logit model, and accounting ratios are used for other bank specific variables. The data consists of 116 listed banks in 13 countries in the Asia-Pacific region from 1988 until 2015. The countries are also grouped into three categories to examine the relationship based on their economic development level. The results from panel data regression show that increases in the cost and profit efficiency increase the bank market risk for all models. The results indicate that there are differences between the cost and profit efficiencies model and VaR and ES methods. These results could be used as a basis for formulating a proactive policy by banking supervisors or as an input to the business strategy for the banking managers. Compared to the past studies, this thesis empirically proven that cost and profit efficiencies effects the bank market risk and recommend that VaR and ES should be used together as the bank market risk method.,Ph.D.
Pages:	190
Publisher:	UKM, Bangi
Appears in Collections:	Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan

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