THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS

Agata Gemzik-Salwach ()
Additional contact information
Agata Gemzik-Salwach: University of Information Technology and Mangement in Rzeszow

"e-Finanse", 2012, vol. 8, issue 4, 15-29

Abstract: The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests, whose main objective was to test the capacity of the information resulting from the recourse to the proposed indicators. Using the data from financial statements of banks listed on the Stock Exchange in Warsaw in the years 1998-2012, two types of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be expected with the probability assumed in the calculation. The way in which these values are formed over time was then analyzed and they were finally compared with the typical values.

Keywords: VaR; risk management; net interest margin Least Squares Method (search for similar items in EconPapers)
JEL-codes: G10 G21 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.e-finanse.com/artykuly_eng/232.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rze:efinan:v:8:y:2012:i:4:p:15-29

Access Statistics for this article

More articles in "e-Finanse" from University of Information Technology and Management, Institute of Financial Research and Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Pawel Bochenek ( this e-mail address is bad, please contact ).