Effects of risk management capabilities on the bank stocks of the publicly listed universal banks in the Philippines for the period of 2005-2009

Date of Publication

2010

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Edralin C. Lim

Defense Panel Member

Leonardo Araneta
Carlos Velayo
Maricon Latoja

Abstract/Summary

This paper established the effect of the risk management capabilities of the banks and bank stock prices of the universal banks with publicly listed stocks in the Philippines. Using four indicators of the risk management capabilities namely interest rate risk or net interest margin (NETIM), credit risk or capital adequacy ratio (CAR), capital or solvency risk or provisions (PROV) and natural hedging strategies or non-interest rate risk (NONIM), the group used fixed effects regression--to determine the regression to be used, the group utilized Hausman's test, the variance inflation factor to check the multicollinearity and the Breush-Pagan test to test the heteroscedasticity. Lastly the group utilized feasibility generalized least squares to cure the multicollinearity and the heterogeneity. These steps and tests were made used by the group to be able to accurately determine the effects of the four risk management capabilities of the bank stocks prices.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21215

Shelf Location

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

Physical Description

78 leaves : illustrations (some color)

Keywords

Universal banks--Philippines; Banks and banking--Risk management--Philippines; Bank stocks--Philippines; Financial risk management--Philippines

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