Date of Publication

8-2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science 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

Rene Betita

Defense Panel Member

Dexter Ginete
Dulani Jayasuriya
Carlo Asuncion
Edralin C. Lim
Michelle Brendy Ocampo Tan

Abstract/Summary

Despite its recent surfacing in local literature, the presence of systemic risk in the Philippine banking system could lead to unprecedented chains of financial failures if left unchecked. The group utilized data from eight of the largest banks in the Philippines, from the years 2007-2015, to determine the variables that influence bank performance during times of crisis, and whether the operations of each bank contribute to the risks of the other. Using value-at-risk measures, it was found that tier 1 capital provides the most effective buffer against losses in stock returns during times of crises, while bank size increases both volatility and losses. Furthermore, using conditional value-at-risk the researchers also found out that negative risk spillovers are present from other banks to BPI. The researchers recommended adherence to the current stringent capital requirements set by the Basel Accords however, they also recommend more research on the optimal levels of capital and size of each bank that would maximize efficiency and returns while minimizing risk.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU22252; CDTU02252

Shelf Location

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

Physical Description

161, 4 leaves, illustrations (some color)

Keywords

Banks and banking—Risk assessment—Philippines; Bank capital—Philippines

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