Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries

Mohamed Rochdi Keffala () and Christian de Peretti ()
Additional contact information
Mohamed Rochdi Keffala: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Christian de Peretti: ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

Post-Print from HAL

Abstract: The purpose of this paper is to assess the level of accounting risk that banks, in both emerging and recently developed countries, face by using derivative instruments. On the whole, results show that forwards negatively affect leverage risk, the use of swap contracts has negative effect on credit risk, the use of options generally increases risk, and finally the use of futures minimally contributes to bank risk. There is some evidence that forwards and swaps are used primarily for risk-control purposes, while options tend to be used for speculative purpose. The main finding is that banks in the sample do not seem to be at risk by using derivative instruments.

Keywords: Derivatives; Bank; Accounting risk; Panel econometrics (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://hal.science/hal-04875617v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Economics and Finance, 2013, 14 (1), pp.149-178

Downloads: (external link)
https://hal.science/hal-04875617v1/document (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:hal:journl:hal-04875617

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().