Overview

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.

Full Product Details

Author:   Shahsuzan Zakaria ,  Sardar Islam
Publisher:   Taylor & Francis Ltd
Imprint:   Routledge
Weight:   0.550kg
ISBN:  

9780367784232

ISBN 10:   0367784238
Pages:   276
Publication Date:   31 March 2021
Audience:   College/higher education ,  Tertiary & Higher Education ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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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.

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Author Information

Shahsuzan Zakaria, PhD, is an Assistant Professor at the Faculty of Business and Management, Universiti Teknologi MARA (UiTM), Kelantan, Malaysia. Sardar M. N. Islam, PhD, is currently a Professor of Economic Studies (and has also been a Professor of Business, Economics and Finance (2007–2017)) at Victoria University, Melbourne, Australia.

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