A comparison of Market Risk Management Practices of selected Islamic banks in the UAE
DISSERTATION WITH DISTINCTION
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2012
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| Online Access: | http://bspace.buid.ac.ae/handle/1234/560 |
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| _version_ | 1862980616485601280 |
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| author | Myeiram, Janbota |
| author_facet | Myeiram, Janbota |
| author_role | author |
| dc.creator.none.fl_str_mv | Myeiram, Janbota |
| dc.date.none.fl_str_mv | 2012-11 2014-03-19T11:11:22Z 2014-03-19T11:11:22Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | 80059 http://bspace.buid.ac.ae/handle/1234/560 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| dc.subject.none.fl_str_mv | risk management market risk Islamic banks Middle East North Africa |
| dc.title.none.fl_str_mv | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| dc.type.none.fl_str_mv | Dissertation |
| description | DISSERTATION WITH DISTINCTION |
| id | budr_8e69a44aec321c666201f9b1a25a6457 |
| identifier_str_mv | 80059 |
| language_invalid_str_mv | en |
| network_acronym_str | budr |
| network_name_str | The British University in Dubai repository |
| oai_identifier_str | oai:bspace.buid.ac.ae:1234/560 |
| publishDate | 2012 |
| publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | A comparison of Market Risk Management Practices of selected Islamic banks in the UAEMyeiram, Janbotarisk managementmarket riskIslamic banksMiddle EastNorth AfricaDISSERTATION WITH DISTINCTIONPurpose – The paper aims to estimate the Value-at-Risk of stock returns for three major Islamic Banks in UAE and compare VaR results among each banks' stock returns. Design/methodology/approach – The paper calculates VaR models using three approaches which are Variance-Covariance, Historical Simulation and Monte Carlo methods and compares among three Islamic Banks stock returns'. Also, the paper assesses the validity of models using back testing. Findings – The empirical results demonstrate that three VaR models applied were not shown same results between each banks' stock returns. In case of variance-covariance method, the most risky stock return was for SIB while least risky stock return was for ADIB. However, in the case of Historical Simulation, the most risky return was for DIB while the least was for SIB. Lastly, in case of Monte Carlo simulation, the most risky stock return seemed to be ADIB while the least SIB. Thus, it concluded that in general the least risky stock returns were for ADIB followed by SIB and DIB. Originality/value – Despite the fact there were substantial studies about the meaning, technique, validity and the application of VaR models in Financial sectors, this article provides real world examples from the prospect of Islamic Banks especially most popular Islamic Banks in the UAE. The article will be of value to those interested in the banking industries especially for Risk managers of Islamic Banks.The British University in Dubai (BUiD)2014-03-19T11:11:22Z2014-03-19T11:11:22Z2012-11Dissertationapplication/pdf80059http://bspace.buid.ac.ae/handle/1234/560enoai:bspace.buid.ac.ae:1234/5602021-09-14T10:10:10Z |
| spellingShingle | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE Myeiram, Janbota risk management market risk Islamic banks Middle East North Africa |
| title | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| title_full | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| title_fullStr | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| title_full_unstemmed | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| title_short | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| title_sort | A comparison of Market Risk Management Practices of selected Islamic banks in the UAE |
| topic | risk management market risk Islamic banks Middle East North Africa |
| url | http://bspace.buid.ac.ae/handle/1234/560 |