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The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins

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  • Agata Gemzik-Salwach

    (University of Information Technology and Mangement in Rzeszow)

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.

Suggested Citation

  • Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
    • Handle: RePEc:rze:efinan:v:8:y:2012:i:4:p:15-29
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    File URL: http://www.e-finanse.com/artykuly_eng/232.pdf
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    More about this item

    Keywords

    VaR; risk management; net interest margin Least Squares Method;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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