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Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)

Author

Listed:
  • Yasmin Briceño Santafé

    (Programa Ciencias del Agro y del Mar. Universidad Nacional Experimental de los Llanos Occidentales Ezequiel Zamora. Avenida 23 de Enero, frente a Redoma de Punto Fresco, Hall del Rectorado, Cubiculo 11. Barinas, Estado Barinas. Código Postal 5201, Venezuela.)

  • Giampaolo Orlandoni Merli

    (Instituto de Estadística Aplicada, Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Avenida Las Américas, Núcleo Universitario Liria, Edificio G, piso 1. Mérida, Estado Mérida. Código Postal 5101, Venezuela.)

Abstract

Venezuelan commercial and universal banks, as many banks in the rest of the world, are exposed to financial risks (credit risk, liquidity risk) and to operational risks. In this paper, the main relationships between the risks factors faced by banks and relevant economic variables are analysed, using structural equations models (Jöreskog’s LISREL models). This sort of statistical modelling allows the evaluation of the three types of risks, finding new indicators for the assessment of those risks. The influence of the macroeconomic environment on the three types of risks analysed is also confirmed.

Suggested Citation

  • Yasmin Briceño Santafé & Giampaolo Orlandoni Merli, 2012. "Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 37(34), pages 55-88, july-dece.
    • Handle: RePEc:ula:econom:v:37:y:2012:i:34:p:55-88
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    More about this item

    Keywords

    Structural equation model; bank risk; credit risk; liquidity risk; operational risk.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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