Description
Financial Risk Management in Banking
Evidence from Asia Pacific
Banking, Money and International Finance Series
Authors: Zakaria Shahsuzan, Islam Sardar
Language: EnglishSubjects for Financial Risk Management in Banking:
Keywords
Risk Management Efficiency; Hedge Accounting; Risk management efficiency measurement; Hedged Items; Data Envelopment Analysis; Hedge Effectiveness; Dollar Offset Ratio; DEA Measurement; Bootstrap Data Envelopment Analysis; Traditional DEA Approach; Chance Constrained Data Envelopment Analysis; Deterministic DEA; PTE Score; Financial uncertainty; Measuring Hedge Effectiveness; Banking risk; DEA Model; financial crisis; DEA Window Analysis; banking industry; Interest Rate Swaps; Extreme Efficient DMU; Hedging Instrument; Derivatives Usage; Stochastic DEA; Bootstrap DEA; CCR Model; OLS Regression; Efficiency Scores; Traditional DEA; Stochastic Efficiency; Efficient DMU; DEA Approach; Original DEA
41.42 €
In Print (Delivery period: 14 days).
Add to cart the book of Zakaria Shahsuzan, Islam SardarPublication date: 03-2021
· 15.6x23.4 cm · Paperback
181.39 €
In Print (Delivery period: 14 days).
Add to cart the book of Zakaria Shahsuzan, Islam SardarPublication date: 08-2019
· 15.6x23.4 cm · Hardback
Description
/li>Contents
/li>Readership
/li>Biography
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As risk-taking is an essential part of the banking industry, banks must practise efficient risk management to ensure survival in uncertain financial climates. Banking operations are specifically affected by fluctuations in interest rates which cause financial imbalance; thus banks are now required to put in place an effective management structure that incorporates risk management efficiency measures that help mitigate the wide range of risks they face.
In this book, the authors have developed a new modelling approach to determine banks? financial risk management by offering detailed insights into the integrated approach of dollar-offset ratio and Data Envelopment Analysis (DEA), based on derivatives usage. It further analyses the efficiency measurement under stochastic DEA approaches, namely (i) Bootstrap DEA (BDEA), (ii) Sensitivity Analysis and (iii) Chance-Constrained DEA (CCDEA). As demonstrated in the modelling exercise, this integrated approach can be applied to other cases that require risk management efficiency measurement strategies.
Additionally, this is the first book to comprehensively review the derivative markets of both the developed and developing countries in the Asia-Pacific region, by examining the differences of risk management efficiency of the banking institutions in these countries.
Based on this measurement approach, strategies are provided for banks to improve their strategic risk management practices, as well as to reduce the impacts from external risks, such as changes in interest rates and exchange rates. Furthermore, this book will help banks to keep abreast of recent developments in the field of efficiency studies in management accounting, specifically in relation to hedge accounting, used by banks in the Asia-Pacific region.
List of figures. List of tables. List of abbreviations. Preface and summary.
1. Introduction.
2. Literature review: relationship between derivatives and risk management and the concept of risk management efficiency and its measurement.
3. Risk management efficiency measurement and analysis: an alternative measure based on hedge accounting.
4. An alternative methodology for risk management efficiency measurement and analysis using DEA approach with ratio analysis based on hedge accounting.
5. Risk management efficiency measurement and analysis under uncertainty. Part A: Bootstrapping analysis of data uncertainty; Part B: Sensitivity analysis; Part C: Chance constrained stochastic variables (parameters uncertainty).
6. Research Summary and Conclusion.
References. Index.
Shahsuzan Zakaria, PhD, is an Assistant Professor at the Faculty of Business and Management, Universiti Teknologi MARA (UiTM), Kelantan, Malaysia.
Sardar M. N. Islam, PhD, is currently a Professor of Economic Studies (and has also been a Professor of Business, Economics and Finance (2007–2017)) at Victoria University, Melbourne, Australia.