Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom

Financial institutions or banks are faced with several types of risks that are uniquely related to the nature of the industry. Therefore it is a must for banks to have risk mitigation methods in order to maintain its competitiveness and sustainability. For the purpose of this paper, four unique risk...

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Main Authors:	Htay, Sheila Nu Nu, Syed, Ahmed Salman
Format:	Article
Language:	English
Published:	International Organisation of Scientific Research (IOSR) 2013
Subjects:	HG1501 Banking
Online Access:	http://irep.iium.edu.my/30951/ http://irep.iium.edu.my/30951/ http://irep.iium.edu.my/30951/1/H0955158_%286%29.pdf

id	iium-30951
recordtype	eprints
spelling	iium-309512013-07-25T01:38:36Z http://irep.iium.edu.my/30951/ Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom Htay, Sheila Nu Nu Syed, Ahmed Salman HG1501 Banking Financial institutions or banks are faced with several types of risks that are uniquely related to the nature of the industry. Therefore it is a must for banks to have risk mitigation methods in order to maintain its competitiveness and sustainability. For the purpose of this paper, four unique risks related to the banking industry will be discussed, as well as to provide empirical study on the relationship between these risks. These risks are liquidity risk, operational risk, credit risk and market risk. The focus of this study is on ten listed banks in United Kingdom with complete secondary data from the year 2002 to 2011. Liquidity risk is measured by the ratio of total loans to total deposits, operational risk is calculated based on two ratios, i.e. the ratio of operating expenses to total assets and the ratio of non-performing loans to total loans. Credit risk is based on the probability of default based on Altman’s z score equation and market risk is calculated based on the standard deviation of quarterly stock returns. The findings show the evidence that there is a relationship between tested risk and it is expected that the findings will be the interest of the bankers to see which risk is the source of other risks. International Organisation of Scientific Research (IOSR) 2013-03 Article PeerReviewed application/pdf en http://irep.iium.edu.my/30951/1/H0955158_%286%29.pdf Htay, Sheila Nu Nu and Syed, Ahmed Salman (2013) Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom. IOSR Journal of Business and Management (IOSR-JBM), 9 (5 ). pp. 51-58. ISSN e-ISSN: 2278-487X, p-ISSN: 2319-7668. http://www.iosrjournals.org
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG1501 Banking
spellingShingle	HG1501 Banking Htay, Sheila Nu Nu Syed, Ahmed Salman Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
description	Financial institutions or banks are faced with several types of risks that are uniquely related to the nature of the industry. Therefore it is a must for banks to have risk mitigation methods in order to maintain its competitiveness and sustainability. For the purpose of this paper, four unique risks related to the banking industry will be discussed, as well as to provide empirical study on the relationship between these risks. These risks are liquidity risk, operational risk, credit risk and market risk. The focus of this study is on ten listed banks in United Kingdom with complete secondary data from the year 2002 to 2011. Liquidity risk is measured by the ratio of total loans to total deposits, operational risk is calculated based on two ratios, i.e. the ratio of operating expenses to total assets and the ratio of non-performing loans to total loans. Credit risk is based on the probability of default based on Altman’s z score equation and market risk is calculated based on the standard deviation of quarterly stock returns. The findings show the evidence that there is a relationship between tested risk and it is expected that the findings will be the interest of the bankers to see which risk is the source of other risks.
format	Article
author	Htay, Sheila Nu Nu Syed, Ahmed Salman
author_facet	Htay, Sheila Nu Nu Syed, Ahmed Salman
author_sort	Htay, Sheila Nu Nu
title	Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
title_short	Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
title_full	Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
title_fullStr	Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
title_full_unstemmed	Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom
title_sort	quantitative analysis on the correlation between risks: empirical evidence from banks in united kingdom
publisher	International Organisation of Scientific Research (IOSR)
publishDate	2013
url	http://irep.iium.edu.my/30951/ http://irep.iium.edu.my/30951/ http://irep.iium.edu.my/30951/1/H0955158_%286%29.pdf
first_indexed	2023-09-18T20:45:11Z
last_indexed	2023-09-18T20:45:11Z
_version_	1777409627444477952

Quantitative analysis on the correlation between risks: empirical evidence from banks in United Kingdom

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