The Role of Value-at-Risk (VaR) Model for Banking Risk Management during the period (2008-2022) | ||||
| Alexandria Journal of Managerial Research and Information Systems | ||||
| Volume 2, Issue 2, January 2024, Page 11-31 PDF (1.57 MB) | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/ajmris.2024.336831 | ||||
 View on SCiNiTO | ||||
| Author | ||||
| mona khalil | ||||
| مدرس بالمعهد العالى للحاسب الآلي ونظم المعلومات ابي قير - الاسكندرية | ||||
| Abstract | ||||
| The bank risk has greaten and changed in its nature under the developments of financial liberalization, use for new financial tools. Therefore, the research problem is embedded in the banks need to use measures that link between profitability and risks and this is what achieved by Value-at-Risk model (VaR) into financial institution for performance evaluation and risk management. VaR in Egyptian banks is mainly used for measure market risks of the investment portfolio, risk management, In addition to financial stability. This has been conducted using a sample of 10 banks (out of 13 banks listed in the Egyptian exchange), and covering the period from January 2008 to December 2022, based on regression and (t-test) for data analysis and hypothesis testing. The research found that the use of VaR model has a significantly affects on banking risk management. Also, found a difference between the level of value at risk for different banks | ||||
| Keywords | ||||
| Value-at-Risk (VaR); Banking Risk Management; Egyptian banks; financial stability | ||||
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