An empirical analysis of the relationship between income structure and risk: Evidence from five Asian countries

Sally, Nattha (2017) An empirical analysis of the relationship between income structure and risk: Evidence from five Asian countries. [Dissertation (University of Nottingham only)]

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Abstract

Bank is a business that faces many risks, resulting to an increase of an important of risk diversification. The purposes of this dissertation are to find the effect of bank income structure on bank risk and to see whether the income diversification is benefit in Hong Kong, Japan, Singapore, South Korea, and Taiwan over the period of 2007–2016 which was found that the trend of change in noninterest income in Japan, Singapore, South Korean and Taiwan increases over the period study, while there is just a graduate change of income structure in Hong Kong.

This dissertation found that banks in Hong Kong gain benefit from income diversification (NIIL, COM, and TRAD) to decrease income volatility. In addition, TRAD can also decrease insolvency risk. This might be implied that banks in Hong Kong will have the most benefit from trading and derivatives income activities. Moreover, it was found that a larger bank size will gain higher benefit. For banks in Japan, an increase in NIIL and TRAD can reduce earnings volatility, while an increase in COM will increase a level of insolvency risk. Considering the effect to banks in Singapore, NIIL and COM are negatively correlated to bank income volatility. Moreover, all income structure variables are able to reduce an insolvency risk with having fees and commissions as the largest impact. At the same time, banks in South Korea was found that only NIIL can reduce income volatility. In addition, all types of income diversification variables are negatively correlated with ADZ (higher insolvency risk) and positively correlated with LLP (higher asset risk). Lastly, banks in Taiwan were found to gain benefit from increasing fees and commissions from decrease bank risk.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Sally, Nattha
Date Deposited: 10 Apr 2018 13:46
Last Modified: 17 Apr 2018 14:38
URI: http://eprints.nottingham.ac.uk/id/eprint/45973

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