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Browsing FACULTY OF BUSINESS ADMINISTRATION & ECONOMICS by Subject "Financial risk management"

Browsing FACULTY OF BUSINESS ADMINISTRATION & ECONOMICS by Subject "Financial risk management"

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  • Retail banking crises and credit risk management : United States vs. Lebanon case 
    Younes, Elias Fares (Notre Dame University-Louaize, 2010)
    This case is important because it sheds the light on the key issues that need to be in place in order to reduce the risk of credit default. If we are to understand the profound significance and the contribution made by lack of Credit controls, the easy credit terms of banks to grant credit facilities and the loosened government legislations that govern the whole lending activity, then we will learn how the Credit Crises was driven and accumulated over the years. On the other hand, we will ensure how a controllable lending environment that is well managed will generate healthy borrowings ...
  • Risk management and bank performance : evidence from the MENA region 
    Daou, Rima (Notre Dame University-Louaize, 2020)
    Purpose – This paper investigates the impact of liquidity risk management and credit risk management on the accounting and market performances of banks operating in the MENA region. It also studies the effect of the interaction between both types of risk management, mentioned above, on the accounting and market performances of the same sample of commercial banks. Design/methodology/approach – Panel Data regression analysis is performed on a sample of 51 commercial banks in the countries of MENA region during the period 2010-2018. Data is retrieved from Thomson Reuters Eikon data stream and ...
  • Stress testing and scenario analysis : another way of determining regulatory capital for European commercial banks 
    Abi Abboud, Joanna Michel (Notre Dame University-Louaize, 2018)
    Purpose - The purpose of this study is to capture the relationship between credit risk of European commercial banks and their profitability, taking into consideration regulatory requirements under several stressed scenarios. Design/Methodology/Approach - The sample of this study consists of 12 out of 15 largest commercial banks in Europe as measured by their total assets in 2017. This study uses hypothesis testing and stress testing approaches to capture the relationship between credit risk of banks and their profitability and to determine the sufficiency of bank capital adequacy. Findings ...
  • Value at risk for higher education institution : the case of NDU 
    Mghames, Hanady S. (Notre Dame University-Louaize, 2019)
    Purpose–The purpose of this thesis is to develop a conceptual model that connects factors affecting students’ enrollment in Higher Education Institutions and evaluates the extent to which these factors are influencing institutions’ Value at Risk (VaR). Design/methodology/approach–Structural PCA modeling was employed in this study to examine the association of institutions’ admissions and different influence parameters, and to derive corresponding VaR as a measure of financial risks. Questionnaires were also completed by Grade Ten students of eight different high schools, prior and post orientation ...
  • Volatility and value at risk : crypto versus Fiat currencies 
    El Chidiac, Johnny (Notre Dame University-Louaize, 2019)
    Purpose: The purpose of this thesis is to investigate the ability of EWMA, GARCH (1, 1), GARCH (p, q) and EGARCH (1, 1) to forecast volatilities of Bitcoin, Ripple, EURUSD, GBPUSD and CNYUSD. The optimal volatility model for each fiat and virtual currency is used to measure the accuracy of VaR by incorporating the volatility update into the Historical Simulation approach. Design/Methodology/Approach: In-sample returns are calculated from daily closing prices and are used in estimating the parameters of the selected models. The calculated in-sample parameters are applied to estimate and forecast ...

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