An Empirical Investigation of the Short-Term Relationship between Interest Rate Risk and Credit Risk

2007 ◽  
Author(s):  
Christian Cech
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Empirical Investigation ◽  
Interest Rate Risk ◽  
Short Term ◽  
Rate Risk

scholarly journals The Effect of Risks on Banking Safety: Applied Study on Jordanian Traditional Banks (2005-2016)

2017 ◽  
Vol 9 (9) ◽  
pp. 102
Author(s):  
Mohammad Abdel Mohsen Al-Afeef ◽  
Atallah Hassan Al-Ta'ani
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Commercial Banks ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Bank Credit ◽  
Applied Study ◽  
Rate Risk ◽  
The Impact

Banking sector is one of the most important sectors that support the sustainable economic development in Jordan, therefore this study aimed to test the impact of risks; (Liquidity risk, bank credit risk and interest rate risk) on the safety in the banking sector in the Jordanian commercial banks during the period 2005-2016.The results of the study showed that there is a statistically significant impact for each of liquidity risk and interest rate risk on the safety in the banking sector, and there isn't statistically significant impact for credit risk on the safety in the banking sector during the period of this study, and also find that the explanatory of model was 60.5%, which means that 39.5% due to other factors.

Basel I to Basel III: Impact of Credit Risk and Interest Rate Risk of Banks in India

2018 ◽  
Vol 17 (1_suppl) ◽  
pp. S83-S111 ◽  
Author(s):  
Noor Ulain Rizvi ◽  
Smita Kashiramka ◽  
Shveta Singh
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Interest Rates ◽  
Banking System ◽  
Interest Rate Risk ◽  
Theoretical Background ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Rate Risk ◽  
Net Interest Margin

The study explores the theoretical background of Basel III and investigates the drivers of interest rate risk and credit risk of banks in various parlances, namely, pre and post the financial crisis, phases of implementation and ownership on a sample of 36 listed banks in India. The findings indicate that the high capital adequacy requirement (CAR) exhibits a positive relation with gross non-performing assets (GNPAs) and net interest margin (NIM). This is perhaps one of the major drawbacks of Basel implementation, which may become a cause of lower GDP in the future as explained in the findings of the literature. Originality/value: This article is perhaps the first attempt of its kind to empirically examine the bank-specific, macroeconomic variables and link it with the Basel implementation in the Indian banking system for the time period 2002–2015. This study endeavours to enhance the existing empirical research in the field and give insights into the role of various factors on GNPAs and interest rates (with regards to Indian banks).

scholarly journals A modelling process of short-term interest rate risk management for the South African commercial banking sector

2011 ◽  
Vol 9 (1) ◽  
pp. 628-637
Author(s):  
Jiaqi Sun ◽  
J.H. Van Rooyen
Keyword(s):  
Interest Rate ◽  
South African ◽  
Inflation Targeting ◽  
Banking Sector ◽  
Empirical Finding ◽  
Interest Rate Risk ◽  
Commercial Banking ◽  
The South ◽  
Short Term ◽  
Rate Risk

This study focuses on banking book interest rate risk (IRR) management, more specifically short-term IRR management (SIRR). This type of risk is partly induced by the inflation targeting policy of the South African Reserve Bank (SARB). As a result, inflation leads to an uncertain interest rate cycle and a period of uncertain interest rate levels as it relates to lending and borrowing activities in the South African commercial banking sector. This study highlights what causes short-term interest rate risk and how the banks may forecast and manage the SIRR with reference to the inflation targeting policy. The banking industry manages a high volume of fund transactions and portfolios of investments. The banks are intricately involved in the financial markets and are therefore exposed to a large number of risk factors. A sound banking system is an important prerequisite for a country’s future economic development. One key empirical finding of this research is that 50 per cent of the South African banks agree that loans that cannot undergo immediate rate adjustments are exposed to the repo-rate adjustment after the Monetary Policy Committee (MPC) meeting. Banks surveyed see the need for the development of a short-term interest rate risk (SIRR) management process to better control such repo-rate risk. The next key empirical finding is that interest rate risk is still managed via traditional repricing gap and sensitivity analysis which is not ideal for risk management due to inherent weaknesses (such as not quantifying capital risk exposure). This agrees with the Pricewaterhousecoopers Balance Sheet Management benchmark survey

scholarly journals FINANCIAL RISKS AND STOCK MARKET CRASHES: AN EMPIRICAL ANALYSIS OF THE TUNISIAN STOCK MARKET

2021 ◽  
Vol 10 ◽  
pp. 10-23
Author(s):  
Haifa Hammami ◽  
Younes Boujelbene
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Credit Risk ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Financial Risks ◽  
High Interest Rate ◽  
Market Risks ◽  
Market Crashes ◽  
Rate Risk

 This study aims to investigate the effect of financial risks on the stock market crashes occurrence from 1999 to 2020. Using the windows method, we detect two stock market crises in the Tunisian stock market. Based on the probit model, we find evidence that low stock return risk, low EUR/TND exchange rate risk, high interest rate risk, high credit risk and high liquidity risk increase the occurrence probability of stock market crashes. Our results suggest that the decrease in volatility, particularly in equity and exchange market, the increase in volatility in interest rate, the credit rating downgrades issued by Moody’s and the low liquidity market contribute to crashes in the Tunisian stock market. In summary, financial risks, which are the market risks, the credit risk and the liquidity risk could be leading indicators of crashes in the Tunisian stock market. Keywords: Stock market crashes; Liquidity risk; Credit risk; Market risks.

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