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The Use of Value at Risk Measure for the Analysis of Bank Interest Margins
Company: e-Finanse: Financial Internet Quarterly
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: February
Resource Link: Click here to open
Pages: 15-29
Download Count: 0
View Count: 1132
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 2-14-2013
Publisher: Administrator
Summary
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 8, number 4)
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Author(s)
Gemzik-Salwach, Agata Sign in to follow this author
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