Dynamic Interaction of Bank Risk Exposures: An Empirical Study for the Indian Banking Industry (Record no. 50359)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02350nam a2200229 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20181030141011.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 181030b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Agrawal, Tarunika Jain |
| 9 (RLIN) | 32353 |
| 245 ## - TITLE STATEMENT | |
| Title | Dynamic Interaction of Bank Risk Exposures: An Empirical Study for the Indian Banking Industry |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 132 -153 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Banks are exposed to different types of risks in the process of financial intermediation and maturity transformation. The experience of the extant global financial crisis provided ample evidence of interaction among bank risks and perils of ignoring interactions in the changing economic, technological and regulatory environment. In this study, we assess the dynamic interaction among bank risks for the entire banking sector and bank groups based on various bank-specific characteristics in a vector autoregression framework, including variance decomposition and impulse response function analysis. We estimate the market measures of different risks using a multivariate GARCH (1, 1) in mean model. The study uses weekly bank level data from 23 October 2004 to 1 August 2014 for 40 listed Indian banks. The findings suggest that there is a positive interaction between equity risk and all other risks. Credit risk and exchange rate risk have a reciprocal relationship. It has also been observed that equity risk impacts credit risk positively. Interest rate risk seems to be affected by its lagged values and does not appear to be affected by other risks. The study highlights the role of liquidity in reducing bank risk exposures and supports new liquidity standards introduced in Basel III. The results improve the understanding of the interaction among risk exposures, which may enhance the supervisory process in the Basel framework. The risk interactions must be kept in mind for making capital provisioning, and an integrated approach to risk management by banks is more desirable. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Commercial banks |
| Uncontrolled term | market risk |
| Uncontrolled term | interest rate risk |
| Uncontrolled term | exchange rate risk, |
| Uncontrolled term | credit risk, |
| Uncontrolled term | vector auto regression |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Sehgal, Sanjay |
| 9 (RLIN) | 32354 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 50183 |
| Host Itemnumber | 72607 |
| Main entry heading | Sage Publication |
| Place, publisher, and date of publication | New Delhi Sage Publication |
| Other item identifier | 5559322 |
| Title | IIM KOZHIKODE SOCIETY AND MANAGEMENT REVIEW |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 30/10/2018 | Vol 7, No 2 | Vol 7, No 2/ 5559322JA4 | 5559322JA4 | 30/10/2018 | 30/10/2018 |