Publication:

Interest rate risk of Islamic and conventional banks: duration gap and net worth approach

Show simple item record
DC FieldValue
dc.contributor.authorLi Qu
dc.contributor.supervisorObiyathulla Ismath Bacha
dc.date.accessioned2024-03-18T00:54:05Z
dc.date.available2024-03-18T00:54:05Z
dc.date.issued2020
dc.description.abstractStarting with a bird s-eye view of contemporary issues of Islamic and conventional banking industries, this paper studies interest rate exposure of Islamic banks by comparing the duration gap and net worth (NW) risk of 50 Islamic Banks (IBs) and 50 Conventional Banks (CBs) from 11 emerging market jurisdictions with dual banking system for two different years, 2009 and 2018. Tweaking the past study design, we also investigate interest rate exposure from bank s two key segments, lending/deposit-taking and treasury. Our results show that duration gaps of IBs and CBs are positive, with IBs being over two times significantly higher than CBs for both years concerned. Higher positive duration gaps suggest that IBs financings are more vulnerable to interest rate risk and capital will be under more pressure when interest rate increases. Moreover, volatilities of IBs duration gaps are significantly higher than that of CBs for both 2009 and 2018, implicating lack of Shariah-compliant risk management tools. Comparing two years, IB s operating gap is lower in 2018; despite the insignificance, it implies that IBs interest rate exposure is reduced due to shorter term Islamic financings. In cross-country analysis, despite Malaysian IBs and Bahraini IBs being statistically significantly different from other countries IBs, overall, we do not see any evident country-specific variations, as they all adopt depository banking model similar to their conventional counterparts.en_US
dc.identifier.citationLi, Q. (2020). Interest rate risk of Islamic and conventional banks: duration gap and net worth approach (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/3967en_US
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3967
dc.languageEnglish
dc.language.isoengen_US
dc.publisherINCEIFen_US
dc.rights2020. INCEIF
dc.sourceSGPS
dc.subjectInterest rate exposure
dc.subjectDuration gap
dc.subjectNet worth (NW)
dc.subjectIslamic banks
dc.subjectConventional banks
dc.subjectDual banking system
dc.subjectProject paper (MSc)
dc.titleInterest rate risk of Islamic and conventional banks: duration gap and net worth approachen_US
dc.typeMasteren_US
dlc.maintopicIslamic banking
dspace.entity.typePublication
ikr.doctypeTheses
ikr.licenseAvailable in PDF format. Kindly email to kmc@inceif.org to access the item
ikr.topic.maintopicIslamic bankingen_US
Appears in Collections
Master
Files

Abstract View

2663230

View & Download

178874