Volatility of the returns and expected losses of Islamic bank financing
作者: Rifki Ismal
作者单位: 1Faculty of Economics, University of Indonesia, Depok, Indonesia
刊名: International Journal of Islamic and Middle Eastern Finance and Management, 2010, Vol.3 (3), pp.267-279
来源数据库: Emerald Journal
DOI: 10.1108/17538391011072453
关键词: Financial riskEquity capitalDebtsFinancingBankingIslamIndonesia
原始语种摘要: Purpose(#br) – The paper attempts to analyze the volatility of returns and expected losses of Islamic bank financing. In particular, it takes the case of Indonesian Islamic banking industry. (#br)Design/methodology/approach(#br) – The paper uses Value at Risk (VaR) approach to compute the volatility (risk) of returns and expected losses of Islamic bank financing. In particular, it uses variance-covariance method to calculate VaR of multi-asset portfolios (groups of equity-, debt- and service-based financing). (#br)Findings(#br) – First of all, equity and debt-based financing produce sustainable returns of bank financing. Moreover, they are also very resilient during unfavorable economic conditions. Second, the performance of service-based financing is very sensitive to the economic...
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关键词翻译
关键词翻译
  • returns 返回粉末
  • financing 供给资金
  • expected 预期
  • volatility 挥发性
  • banking 筑堤
  • equity 衡平法
  • losses 损耗
  • covariance 协方差
  • economic 经济的
  • Equity 衡平法