The impact of interest rates swap activity on bank's stock volatility : an empirical portfolio approach
Author
Source
Revue Algérienne de Finances Publiques
Issue
Vol. 2012, Issue 2 (31 Dec. 2012), pp.153-176, 24 p.
Publisher
Université Abou Bekr Belkaid Faculté des Sciences Economiques Commerciales et Sciences de Gestion
Publication Date
2012-12-31
Country of Publication
Algeria
No. of Pages
24
Main Subjects
Abstract EN
In the last ten to fifteen years, financial derivative securities have become important and controversial products.
These securities are powerful instruments for transferring and hedging risk.
However, they also allow agents to quickly and cheaply take speculative risk.
Determining whether agents are hedging or speculating is not a simple matter because it is difficult to value portfolios of derivatives.
The Relationship between risk and derivatives is especially important in banking since banks dominate most dérivatives markets and, within banking, derivative holdings are concentrated at a few large banks.
If large banks are using derivatives to increase risk, then losses on derivatives, such as those of Procter and Gamble, and Orange County, may seem small in comparison with the losses by banks (Barings, AIB, AIG, Lehman Brothers).
In addition, the major banks are all taking similar gambles, then the banking system is becoming the most vulnerable sector since the lasting financial crisis that started in 2009.
American Psychological Association (APA)
Bu Krami, Ilyas. 2012. The impact of interest rates swap activity on bank's stock volatility : an empirical portfolio approach. Revue Algérienne de Finances Publiques،Vol. 2012, no. 2, pp.153-176.
https://search.emarefa.net/detail/BIM-937921
Modern Language Association (MLA)
Bu Krami, Ilyas. The impact of interest rates swap activity on bank's stock volatility : an empirical portfolio approach. Revue Algérienne de Finances Publiques No. 2 (Dec. 2012), pp.153-176.
https://search.emarefa.net/detail/BIM-937921
American Medical Association (AMA)
Bu Krami, Ilyas. The impact of interest rates swap activity on bank's stock volatility : an empirical portfolio approach. Revue Algérienne de Finances Publiques. 2012. Vol. 2012, no. 2, pp.153-176.
https://search.emarefa.net/detail/BIM-937921
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 173-176
Record ID
BIM-937921