The relationship between value-at-risk forecasts and the subsequent volatility of trading revenues of a few selected Philippine private universal and commercial banks for the period 2006-2008

• Main Authors: Capistrano, Clarice Abigaile K., Neria, Clarice Danica Q., Rondilla, Edah C.
• Format: text
• Language: English
• Published: Animo Repository 2009
• Subjects: Banks and banking > Philippines; Risk management > Mathematical models; Risk > Measurement > Mathematical models; Risk assessment > Mathematical models; Financial futures > Mathematical models; Economic forecasting > Econometric models; Bank investments; Philippines > Economic conditions
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17476
• Institution: De La Salle University

In the late 1990s, the Basel Committee on Banking Supervision (BCBS) promoted a more extensive market risk disclosure for banks. Since then, Value-at-Risk (VaR) has become a standard measure in the estimation of financial risk particularly, market risk. In line with that, Bangko Sentral ng Pilipinas required Philippine universal, commercial, and thrift banks to disclose qualitative and quantitative information regarding their risk exposures. Using panel data from 2006-2008, this paper examines the relationship between the VaR forecasts and the subsequent volatility in a bank's trading revenues. Estimation results illustrate that VaR forecasts can be used to predict the banks' variability of trading revenues. This suggests that VaR disclosures can be used to compare risk profiles of banks.