The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins
The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests, whose main objective was to test the capacity of the information resulting from the recourse to the proposed indicators. Using the data from financial statements of banks listed on the Stock Exchange in Warsaw in the years 1998-2012, two types of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be expected with the probability assumed in the calculation. The way in which these values are formed over time was then analyzed and they were finally compared with the typical values.
Volume (Year): 8 (2012)
Issue (Month): 4 (February)
|Contact details of provider:|| Web page: http://www.ibaf.edu.pl/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
- Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009.
"How to Find Plausible, Severe and Useful Stress Scenarios,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 5(3), pages 205-224, September.
- Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to find plausible, severe, and useful stress scenarios," Working Papers 150, Oesterreichische Nationalbank (Austrian Central Bank).
- Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
- J. S. Butler & Barry Schachter, 1996. "Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation," Finance 9605001, EconWPA.
- Giulio PALOMBA & Luca RICCETTI, 2011.
"Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk,"
358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Palomba, Giulio & Riccetti, Luca, 2012. "Portfolio frontiers with restrictions to tracking error volatility and value at risk," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2604-2615.
- William Fallon, 1996. "Calculating Value-at-Risk," Center for Financial Institutions Working Papers 96-49, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Michael Chak-sham Wong & Yat-fai Lam, 2008. "Macro stress tests and history-based stressed PD: the case of Hong Kong," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 16(3), pages 251-260, July.
- Massimo Guidolin & Allan Timmerman, 2005.
"Term structure of risk under alternative econometric specifications,"
2005-001, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
- Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.
- Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
- Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
- Farshid Jamshidian & Yu Zhu, 1996. "Scenario Simulation: Theory and methodology (*)," Finance and Stochastics, Springer, vol. 1(1), pages 43-67.
- Darryll Hendricks & Beverly Hirtle, 1997. "Bank capital requirements for market risk: the internal models approach," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-12.
- Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group.
When requesting a correction, please mention this item's handle: RePEc:rze:efinan:v:8:y:2012:i:4:p:15-29. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Pawel Bochenek)The email address of this maintainer does not seem to be valid anymore. Please ask Pawel Bochenek to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.