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

Print

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

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