書籍詳細

書籍詳細




洋書

銀行業の金融リスク管理:アジアパシフィックからの実例

Financial Risk Management in Banking : Evidence from Asia Pacific

(Banking, Money and International Finance)

Zakaria, Shahsuzan   Islam, Sardar M. N.

Routledge 2019/08
275 p. 24 cm   
装丁: Hrd    装丁について
テキストの言語: ENG    出版国: GB
ISBN: 9781138388277
KCN: 1032401266
紀伊國屋書店 選定タイトル
標準価格:¥25,212(本体 ¥22,920)   
Web販売価格あり    Web販売価格について

為替レートの変動や出版社の都合によって、価格が変動する場合がございます。

この商品は提携先の海外出版社在庫からの取り寄せとなります。品切れの場合、恐れ入りますがご了承下さい。

納期について
DDC: 332.10681
KDC: E211 銀行・保険
ご購入を希望される方は、
下のリンクをクリックしてください。

Full Description

As risk-taking is an essential part of the banking industry, banks must practise efficient risk management to ensure survival in uncertain financial climates. Banking operations are specifically affected by fluctuations in interest rates which cause financial imbalance; thus banks are now required to put in place an effective management structure that incorporates risk management efficiency measures that help mitigate the wide range of risks they face. In this book, the authors have developed a new modelling approach to determine banks' financial risk management by offering detailed insights into the integrated approach of dollar-offset ratio and Data Envelopment Analysis (DEA), based on derivatives usage. It further analyses the efficiency measurement under stochastic DEA approaches, namely (i) Bootstrap DEA (BDEA), (ii) Sensitivity Analysis and (iii) Chance-Constrained DEA (CCDEA). As demonstrated in the modelling exercise, this integrated approach can be applied to other cases that require risk management efficiency measurement strategies. Additionally, this is the first book to comprehensively review the derivative markets of both the developed and developing countries in the Asia-Pacific region, by examining the differences of risk management efficiency of the banking institutions in these countries. Based on this measurement approach, strategies are provided for banks to improve their strategic risk management practices, as well as to reduce the impacts from external risks, such as changes in interest rates and exchange rates. Furthermore, this book will help banks to keep abreast of recent developments in the field of efficiency studies in management accounting, specifically in relation to hedge accounting, used by banks in the Asia-Pacific region.

Table of Contents

List of figures. List of tables. List of abbreviations. Preface and summary. 1. Introduction. 2. Literature review: relationship between derivatives and risk management and the concept of risk management efficiency and its measurement. 3. Risk management efficiency measurement and analysis: an alternative measure based on hedge accounting. 4. An alternative methodology for risk management efficiency measurement and analysis using DEA approach with ratio analysis based on hedge accounting. 5. Risk management efficiency measurement and analysis under uncertainty. Part A: Bootstrapping analysis of data uncertainty; Part B: Sensitivity analysis; Part C: Chance constrained stochastic variables (parameters uncertainty). 6. Research Summary and Conclusion. References. Index.