Current Issue : October - December Volume : 2019 Issue Number : 4 Articles : 5 Articles
The global economic meltdown caused by the subprime mortgage crisis in the\nUnited States in 2007 along with its subsequent adverse effects on the economy,\nfinancial participants around the world, have raised questions on the\neffectiveness of the financial risk management policies adopted by financial\ninstitutions and banks worldwide. This study focuses on the analysis of the\nrisk management framework and its efficiency in the Mauritian banking sector.\nPanel regression and Non-parametric regression Lowess Smoother methodologies\nwere employed in measuring the impact of the various financial\nrisks on the efficiency of risk management of a sample of ten Mauritian banks\nover a period of eight years. The dependent variable selected to measure risk\nmanagement efficiency is the Capital Adequacy Ratio (CAR). On the other\nhand, the financial risks indicators are the credit risk (CRisk), liquidity ratio\n(LQR), interest sensitivity ratio (ISR) and foreign exchange risk (FER). Both\nthe parametric and non-parametric regressions indicate that the risk variables\nare significant and have a positive relationship on risk management efficiency.\nA dual approach has been employed through the administration of a survey\nto gauge into the perspectives and practices adopted by Risk managers in\nbanks. Moreover, the findings obtained from the survey substantiated the\nmain results. The methods used by the Mauritian banks and the importance\nof the Basel principles for effective risk management were also revealed by the\nquestionnaires....
The implementation of Treasury Single Account (TSA) in Nigeria ushered in\nsome drastic changes such that Central Bank of Nigeria (CBN) takes over the\ncustodian of public fund and Deposit Money Banks (DMBs) serve as collecting\nagent throughout the federation. This seems to be affecting the liquidity\nstate of DMBs. A bank with high liquidity problem might not be able to withstand\nnegative shocks and contribute to the stability of the financial system.\nAn in-depth analysis of the impact of TSA on the profitability of Money Deposit\nbanks will not only clarify the disaggregated findings reported by previous\nstudies, but also provide suggestions on how DMBs could improve their\nliquidity state. Based on incremental and stakeholdersâ?? theory, this research\nexamines the impact of Treasury Single Account (TSA) on the Profitability of\nDeposit Money Banks (DMBs) in Nigeria. Out of all the listed Deposit Money\nBanks (DMBs) in Nigeria, purposive sampling technique was used to select all\nthe 6 Systematically Important Banks (SIB) and data were collected on four\nindicators of profitability of banks such as Earning per Share (EPS), Profit after\nTax (PAT), Return on Equity (ROE) and Return on Assets for the period\nof 6 years divided into Pre-TSA (2012-2014) and Post-TSA (2015-2017). It\nwas discovered that through the analysis carried out via paired sampled t-test\nthat TSA exerts a positive insignificant impact on all the indicators of profitability\ncovered by this study except Profit after Tax (PAT) that has a negative\ninsignificant impact. Finally, it was recommended that managers of DMBs\nshould work out modalities that will foster the embracement of the core values\nof the banking system to collect depositorsâ?? funds, keep them safe and\nengage in intermediation to create wealth and jobs for the economy. Consequently,\noverdependence on government fund for operational activities\nshould be discouraged....
This study examined the impact of internal resources mobilization and financial\ncontrol of government budget in southwest Nigeria. The study focused on\nall the southwest states over a period of 15 years (2003 to 2017). Pooled OLS\nestimation, fixed effect estimation and random effect estimation were used in\nthe study, alongside trend analysis. Result showed significant trend of resources\nmobilization performance, though with varying strength of fluctuation\nacross the sampled states. Internally generated revenue exert positive\nsignificant impact on government financial control measured in terms of\nrevenue budgeted actual variance (0.407566, p = 0.000 < 0.05) and in terms of\nexpenditure budgeted actual variance (0.1694784, p = 0.000 < 0.05). This\nstudy concluded that internal resources mobilization has significant positive\ninfluence on the level of financial control of government budget in Southwest\nNigeria. Hence state government in southwest Nigeria should ensure adequate\ngeneration of revenue within the States, so as to boost the level of financial\ncontrol in government budget process....
The paper analyzes the returns earned by the sample mutual funds benchmarking\nwith market return. It also assesses whether they are taking advantages\nof diversification, market timing and selectivity of securities to their\ninvestors. Secondary data of eight sample mutual fundsâ?? have been used from\n2015 to 2018 published by Nepal Stock Exchange and respective fund manager.\nRisk adjusted performance measures Jensen alpha, Treynor ratio and\nSharpe ratio have been used to analyze return in terms of risk and Co-efficient\nof Determination (R2), Quadratic Regression of Treynor and Mazuy and Famade\ncomposition model are employed to assess diversification, market timing\nand selectivity ability of fund manager. The result explores that funds that\nare operated from 36 months over-perform benchmark market index and\nthose funds operated for 16 months are suffering from very low return. Further\nevidence shows that low amount of diversification, moderate level of selectivity\nand no significant relationship between timing skill and return of\nfunds....
This paper explores the selection of optimal portfolio by replacing the standard\nMean-Variance model by Mean-Minimum Return Level (MRL) framework\nand adding one important dimension-expectation of bounded First\nPassage Time (FPT) towards the MRL. To measure how much a given portfolio\nis exposed to risk, the new model can capture both, the amount of the\nlargest possible loss at a certain confidence level and time to such an event\noccurring. The novelty of this paper is the introduction of bounded first passage\ntime towards MRL and taking its expectation into consideration as an\nadditional factor in portfolio selection decision making. Assuming that the\nasset price dynamics follow multi-dimensional Geometric Brownian Motion\nwith drift, we obtain a portfolio wealth process for multiple assets and we\nevaluate the lowest possible value to which it can drop by a high confidence\nlevel. Then we extend our examination of the optimal portfolio selection by\nultimately obtaining the efficient surface of risky portfolios. As a result, the\npaper shows that the third dimension can make a significant difference while\nchoosing the asset weights compared to classical models ignoring the portfolio\nreturn paths as long as they achieve a desired combination of risk and return....
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