Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model

2019 ◽  
Vol 50 ◽  
pp. 101004 ◽  
Author(s):  
Saiyan Lin ◽  
Rongda Chen ◽  
Zhihong Lv ◽  
Tianqing Zhou ◽  
Chenglu Jin
Keyword(s):  
Liquidity Risk ◽  
Market Risk ◽  
Copula Model

Synthesis and Conclusion

2019 ◽  
pp. 443-458
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Civil War ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Securities And Exchange Commission ◽  
Confederate States Of America ◽  
Rate Risk ◽  
National Bank

This chapter begins with a synthesis of key themes, covering derivatives, debt instruments, and structured notes. It considers the case study Securities and Exchange Commission v. Goldman, Sachs & Co. & Fabrice Tourre. It then describes the Erlanger “cotton” bonds issued by the Confederate States of America to raise money during the Civil War. This is followed by discussions on range notes, internal leverage and market risk, and risks (interest rate risk, liquidity risk, reinvestment risk). The chapter concludes by describing the bulletin issued by the Office of the Comptroller of the Currency on May 22, 2002, to all national bank CEOs and all federal branches and agencies in regard to risky “yield-chasing” strategies that were returning to the markets.

scholarly journals Relationship Between Risk Management Practices and Investment Decisions in Bank of Kigali, Rwanda

2020 ◽  
Vol 1 (1) ◽  
pp. 88-107
Author(s):  
Gedion Alang’o Omwono ◽  
Kayumba Annette
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Best Practice ◽  
Management Practices ◽  
Investment Decisions ◽  
Liquidity Risk ◽  
Market Risk ◽  
Risk Tolerance ◽  
Credit Risk Management ◽  
Risk Monitoring

The purpose of this study was to examine the relationship between risk management practices and investment decisions in Bank of Kigali, Rwanda. This study adopted correlational research design. Descriptive statistics include those of the mean, standard deviation and frequency distribution while inferential statistics involves use of spearman’s coefficient correlations. Linear regression was used where ANOVA was carried on each variable. The study found that there was a correlation between liquidity risk management, default risk management and market risk management with performance of the Banks. The study findings indicated that credit risk management (r=0.096, p<0.01), liquidity risk management (r=0.347, p<0.01), market risk management (r=0.506, p<0.01) and operational risk management (r=0.612, p<0.01) on financial performance. It however found that the Banks do not involve experts and consultants in market risk management thus recommendations were made for the Banks to revise their credit risk management policies, open up and share information with other players on market risk thus involve consultants more in their market risk management and to be more proactive than reactive in risk management. The study concluded that, risk management has a positive influence on the investment decisions and that risk monitoring can be used to make sure that risk management practices are in line with proper best practice risk monitoring policies which also helps bank management to discover exposures at early stages and make corrective actions. The study recommended that, Senior management should develop strategies, policies and practices to manage risk in accordance with the Banks risk tolerance and to ensure that the bank maintains sufficient liquidity risk cover.

scholarly journals Pengaruh risiko usaha terhadap rasio kecukupan modal inti (TIER 1) pada bank-bank kelompok buku 3 dan buku 4

2019 ◽  
Vol 7 (1) ◽  
Author(s):  
Adi Isa Ansori ◽  
Herizon Herizon
Keyword(s):  
Credit Risk ◽  
Liquidity Risk ◽  
Secondary Data ◽  
Operational Risk ◽  
Sampling Technique ◽  
Financial Statements ◽  
Market Risk ◽  
Linear Analysis ◽  
Tier 1 ◽  
Bank Group

This study tried to determine the effect of liquidity risk measured by LDR and IPR, Credit risk measured by APB and NPL, market risk measured by IRR and PDN, operational risk measured by BOPO, and FBIR both simultaneously or partially. On Core CAR (TIER 1) in Bank group of book 3 and book 4. The sample was selected using purposive sampling technique, consisting of five banks such as PT Bank Negara Indonesia, PT Bank Maybank Indonesia, PT Bank Tabungan Negara, PT Pan Indonesia Bank, and PT Bank Permata. The secondary data were taken from published financial statements starting from first quarter 2010 until second quarter 2015. They were collected by documentation method and analyzed using linear analysis. The result shows that, partially, LDR, IPR, NPL, PDN, BOPO and FBIR have significant effect on Core CAR (TIER 1). Simultaneously, LDR, IPR, APB, NPL, IRR, PDN, BOPO, and FBIR, as represented by liquidity risk, credit risk, market risk, and operational risk partially have significant effect on Core CAR (TIER 1) in Bank group of book 3 and book 4.

Corporate governance in relationship with bank risk management

2021 ◽  
pp. 2150034
Author(s):  
Ika Permatasari
Keyword(s):  
Risk Management ◽  
Corporate Governance ◽  
Credit Risk ◽  
Liquidity Risk ◽  
Market Risk ◽  
Data Sources ◽  
Annual Reports ◽  
Bank Risk ◽  
Financial Reports ◽  
The Relationship

The purpose of this research is to examine the relationship between corporate governance and risk management of Indonesian banks. Bank risk managements are measured by market risk, credit risk, and liquidity risk. The samples used in this study were all banks registered in Indonesia during the 2010–2016 period. The data sources were obtained from the annual reports and bank financial reports. The results show that corporate governance implementation in Indonesia was able to affect credit risk and liquidity risk. There were differences in credit risk and liquidity risk in banks with different governance ratings, but not at market risk.

scholarly journals ANALISIS KESEHATAN BANK DENGAN METODE RISK PROFILE, GOOD CORPORATE GOVERNANCE, EARNING DAN CAPITAL PADA BANK MILIK NEGARA TAHUN 2013-2017

2019 ◽  
Vol 2 (2) ◽  
pp. 356
Author(s):  
Skalis Winda Munte ◽  
Selmi Dedi ◽  
Ted Matheus Suruan
Keyword(s):  
Corporate Governance ◽  
Credit Risk ◽  
Comparative Research ◽  
Liquidity Risk ◽  
Market Risk ◽  
Risk Profile ◽  
Self Assessment ◽  
Good Corporate Governance ◽  
Public Company ◽  
Composite Rating

This research was aimed to analysis risk base bank rating using RGEC (Risk Profile, Good Corporate Governance, Earning, and Capital ) method in Bank of Public Company 2013-2017. This research was a comparative research. The analyzer was used in this research is RGEC method. Risk Profile was assessed by, credit risk, market risk, and liquidity  risk. Good Corporate Governance was assessed by self assessment of bank report. Earning was assessed by, i.e ROA, ROE, NIM, and BOPO. And for capital was assessed by CAR. The results of the study that PT. Bank Rakyat Indonesia (Persero) Tbk obtains the highest average weighted Composite Rating, which is 94.67%., PT. Bank Negara Indonesia (Persero) Tbk came in second place at 87.11%. and PT. Bank Tabungan Negara (Persero) Tbk obtains the lowest weighted Composite Rating weight of 85.78%. However, overall the three State-Owned Banks are still rated very healthy. However, it is hoped that further researchers will be able to take on more banks to provide a broader picture.

Sign in / Sign up

Export Citation Format

Share Document