Financial Risk Management in Banking: Evidence from Asia Pacific

ISBN-13: 9780367784232 / Angielski / Miękka / 2021 / 276 str.

Shahsuzan Zakaria; Sardar Islam

Opis

This book will help banks to improve their risk management practices by proposing a new method for measuring risk management efficiency, integrating two elements: (i) a non-parametric approach known as Data Envelopment Analysis (DEA); and (ii) a Dollar-offset Ratio (DOR) method of hedge effectiveness tests.

Spis treści

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.

O autorze

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.