Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord
This study investigates the evaluation of capital adequacy ratio of commercial banks in Malaysia based on Base1 I1 Accord. Capital adequacy ratio is represented by seven independent variables namely: market risk, operational risk, credit risk, loans, loan loss provision, size and gross domestic pro...
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HG Finance Nor Faezah, Mohamed Darus Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
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This study investigates the evaluation of capital adequacy ratio of commercial banks in Malaysia based on Base1 I1 Accord. Capital adequacy ratio is represented by seven
independent variables namely: market risk, operational risk, credit risk, loans, loan loss provision, size and gross domestic product (GDP). The objective this study is to identify the problem of not complying with Basel I1 Accord, to find out the level of Capital Adequacy Ratio of commercial bank and lastly to identify of component risk consist of credit risk, market risk and operational risk in commercial banks. A research framework and a hypothesis are developed. The hypothesis of this study is tested using linear regression analysis. This analysis is used to investigate the evaluation of capital adequacy ratio in commercial banks base Base1 I1 Accord. From seven independent variables in this study, two independent variable are not statistically significant; thy are credit risk and gross domestic product. The other five variables are statistically significant. They are market risk, operational risk, LOANS, loan loss provision and LNTA. In conclusion, this study offered insights to understanding the evaluation of capital adequacy ratio incommercial banks base Basel I1 Accord for the first time in Malaysia. The main determinants of capital adequacy ratio in Malaysia have been examined empirically. Hopefully this contribution will interest for future in-depth study considering that capital adequacy ratio is one of the most important in commercial banks. |
| format |
Thesis |
| qualification_name |
masters |
| qualification_level |
Master's degree |
| author |
Nor Faezah, Mohamed Darus |
| author_facet |
Nor Faezah, Mohamed Darus |
| author_sort |
Nor Faezah, Mohamed Darus |
| title |
Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
| title_short |
Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
| title_full |
Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
| title_fullStr |
Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
| title_full_unstemmed |
Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord |
| title_sort |
evaluation of capital adequacy ratio of commercial bank in malaysia based on basel ii accord |
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Universiti Utara Malaysia |
| granting_department |
College of Business (COB) |
| publishDate |
2007 |
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https://etd.uum.edu.my/8/2/nor_faezah.pdf https://etd.uum.edu.my/8/3/nor_faezah.pdf |
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my-uum-etd.82013-07-24T12:05:16Z Evaluation of Capital Adequacy Ratio of Commercial Bank in Malaysia Based on Basel II Accord 2007 Nor Faezah, Mohamed Darus College of Business (COB) Faculty of Finance and Banking HG Finance This study investigates the evaluation of capital adequacy ratio of commercial banks in Malaysia based on Base1 I1 Accord. Capital adequacy ratio is represented by seven independent variables namely: market risk, operational risk, credit risk, loans, loan loss provision, size and gross domestic product (GDP). The objective this study is to identify the problem of not complying with Basel I1 Accord, to find out the level of Capital Adequacy Ratio of commercial bank and lastly to identify of component risk consist of credit risk, market risk and operational risk in commercial banks. A research framework and a hypothesis are developed. The hypothesis of this study is tested using linear regression analysis. This analysis is used to investigate the evaluation of capital adequacy ratio in commercial banks base Base1 I1 Accord. From seven independent variables in this study, two independent variable are not statistically significant; thy are credit risk and gross domestic product. The other five variables are statistically significant. They are market risk, operational risk, LOANS, loan loss provision and LNTA. In conclusion, this study offered insights to understanding the evaluation of capital adequacy ratio incommercial banks base Basel I1 Accord for the first time in Malaysia. The main determinants of capital adequacy ratio in Malaysia have been examined empirically. Hopefully this contribution will interest for future in-depth study considering that capital adequacy ratio is one of the most important in commercial banks. 2007 Thesis https://etd.uum.edu.my/8/ https://etd.uum.edu.my/8/2/nor_faezah.pdf application/pdf eng validuser https://etd.uum.edu.my/8/3/nor_faezah.pdf application/pdf eng public masters masters Universiti Utara Malaysia Aly, H.Y., Grabowski, R., Pasurka, C. and Rangan, N. (1990), Technical, Scale and Allocative Annual reports of varians banks. (200 1-2005) Angbazo,L.(1997). Commercial Bank Net Interest Margin, Default Risk, Interest-Rate Risk, and Off -balance sheet Banking. Journal of Banking & Finance, 21,55-87 Avkiran, N.K. (1999), An Application Reference for Data Envelopment Analysis in Branch Banking: Helping the Novice Researcher, International Journal of Bank Marketing 17 (9,206-220. Avkiran, N.K. (2002), Productivity Analysis in the Service Sector with Data EnvelopmentAnalysis. Camira: N.K., Avkiran. Banker, R.D., Charnes, A. and Cooper, W.W. (1 984), Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis, Management Science 30 (9), 1078- 1092. Basel Committee on Banking Supervision, 200 1 a, "Regulatory Treatment of Operation Risk," September. Base1 Committee on Banking Supervision, 2001 b, "Sound Practices for the Management and Supervision of Operational Risk," December. Basel Committee on Banking Supervision, 2002a, "Quantitative Impact Study for Operational Risk: Overview of Lndividual Loss Data and Lessons Learned," January. Basel Committee on Banking Supervision, 2002b, "Sound Practices for the Management and Supervision of Operational Risk," July. Berger.N.A. (2006), Potential Competitive Effects of Base1 I1 on Banks in SME Credit Markets in The United Staed, Journal of Finance Services Research, 29: 15-36 Berger, A.N. and Humphrey, D.B. 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(1990), Polyhedral Cone - Ratio DEA Models with an Illustrative Application to Large Commercial Banks, Journal of Econometrics 46 (1 -2), 73-9 1. Coelli, T., Prasada-Rao, D. S. and Battese, G.E. (1998), An inlroduction to Efficiency and Productivity Analysis. Boston: Kluwer Academic Publishers. Cooper, W.W., Seiford, L.M. and Tone, K. (2000), Data Envelopment Analysis. Boston:Kluwer Academic Publishers. Dyson, R.G., Allen, R., Camanho, A.S., Podinovski, V.V., Sarrico, C.S. and Shale, E.A. (200 l), Pitfalls and Protocols in DEA, European Journal of Operational Research, 132 (2), 245-259. Efficiencies in U.S. banking: An Empirical Investigation, Review of Economics and Slatistics72 (2), 2 1 1 -2 1 8. Elyasiani, E. and Mehdian, S. (1992), Productive Efficiency Performance of Minority and Non- Minority Owned Banks: A Non-Parametric Approach, Journal of Banking and Finance 1 6 (5), 933-948. Evanoff. D.D. and Israelvich, P.R. (1991), Productive Efficiency in Banking, Economic Perspectives, Federal Reserve Bank of Chicago, 1 1-32. Nor Hayati Ahmad (2003a). Credit Risk Determinants: Comparative Evaluation by Institutional Type |