Determinants of interest rate risk among publicly-listed Philippine banks from 2003-2010
Date of Publication
2011
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science 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
Junette A. Perez
Defense Panel Member
Vivian Y. Eleazar
Carmelita Clerigo
Milkos Patrick Zalameda
Neriza M. Delfino
Abstract/Summary
The study is about the determinants of interest rate risk among the banks listed in the Philippine Stock Exchange, and will cover the period 2003-2010. The research will involve a two-stage regression process and the first stage will use the returns on the Philippine Stock Exchange index and the changes in the three-month interbank rate as the independent variable, while the bank stock return is the dependent variable. The second stage will use the degree of interest rate exposure so obtained from the first stage as the dependent variable, while the different bank specific characteristics will be the independent variables. The study is patterned after a similar research done in the Spanish banking system.
Abstract Format
html
Language
English
Format
Accession Number
TU21669
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
110 leaves ; 28 cm.
Keywords
Interest rates--Philippines; Banks and banking--Philippines--Risk management
Recommended Citation
Castro, M. T., Cho, R. M., Ong, R. G., & Sy, J. L. (2011). Determinants of interest rate risk among publicly-listed Philippine banks from 2003-2010. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/7974