The relationship between value-at-risk forecasts and the subsequent volatility of trading revenues of a few selected Philippine private universal and commercial banks for the period 2006-2008

Date of Publication

2009

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Junette A. Perez

Defense Panel Chair

Milkos Patrick B. Zalameda

Defense Panel Member

Edralin C. Lim

Abstract/Summary

In the late 1990s, the Basel Committee on Banking Supervision (BCBS) promoted a more extensive market risk disclosure for banks. Since then, Value-at-Risk (VaR) has become a standard measure in the estimation of financial risk particularly, market risk. In line with that, Bangko Sentral ng Pilipinas required Philippine universal, commercial, and thrift banks to disclose qualitative and quantitative information regarding their risk exposures. Using panel data from 2006-2008, this paper examines the relationship between the VaR forecasts and the subsequent volatility in a bank's trading revenues. Estimation results illustrate that VaR forecasts can be used to predict the banks' variability of trading revenues. This suggests that VaR disclosures can be used to compare risk profiles of banks.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU14814

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

iv, 42, iii leaves : ill. (some col.)

Keywords

Banks and banking--Philippines; Risk management--Mathematical models; Risk--Measurement--Mathematical models; Risk assessment--Mathematical models; Financial futures--Mathematical models; Economic forecasting--Econometric models; Bank investments; Philippines--Economic conditions

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