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CNAA / Theses / 2016 / May /

The involvement of financial derivatives transactions on bank performance


Author: Postolache Victoria
Degree:doctor of economics
Speciality: 08.00.10 - Finance; Monetary Economics; Credit
Year:2016
Scientific adviser: Victoria Cociug
doctor, associate professor (docent), Academy of Economic Studies of Moldova
Institution: Academy of Economic Studies of Moldova

Status

The thesis was presented on the 17 May, 2016
Approved by NCAA on the 5 July, 2016

Abstract

Adobe PDF document – 0.70 Mb / in romanian

Thesis

CZU 336.71:336.763.42 (478) (043)

Adobe PDF document 4.31 Mb / in romanian
218 pages

Keywords

financial derivatives, bank performance, forward, futures, swap, option, credit derivatives, swap on credit risk, active support, credit risk, compliance risk, counterparty risk, hedging, arbitration, speculative operations, return on assets, return on capital, net margin of interest, derivatives on interest rate, currency derivatives, transfer of credit risk

Summary

to the thesis to obtain the scientific degree of doctor in economic sciences „The involvement of financial derivatives transactions on bank performance" Postolache Victoria, Chisinau, 2016, speciality 522.01 - Finance Thesis structure: the thesis consists of introduction, four chapters, conclusions and recommendations, bibliography of 284 titles, 25 annexes, 163 basic text pages, including 64 figures, 14 tables. The results are published in 11 scientific papers, with a total volume of 6.5 sheet copyright. Key-words: financial derivatives, bank performance, forward, futures, swap, option, credit derivatives, swap on credit risk, active support, credit risk, compliance risk, counterparty risk, hedging, arbitration, speculative operations, return on assets, return on capital, net margin of interest, derivatives on interest rate, currency derivatives, transfer of credit risk. Field of Study: Finance. Research goal: development of theoretical and practical concepts on financial derivatives, their utility for banking sector, research of methodological bases and elaboration of analysis model regarding use of financial derivatives in the national banks with implications for bank performance. Research objectives: systematization and research of scientific approaches of concept of financial derivatives in order to argue their utility for banking sector; identifying the criteria for classification of financial derivatives and research of useful typology in the banking sector; ordering and analyzing scientific concepts regarding to bank performance, assessing of influence factors; assessment of global trends in financial derivatives in contraposition with incomes generated by financial derivatives intruments and indicators of banking performance in order to determine the influence of financial derivatives on banking performances; assessment of preparing of the national banking sector and existing premises for the implementation of financial derivatives transactions; using econometric methods to determine the possibility of using swaps on credit risk in the national banking system and identifying their influence on bank performance; making recommendations, including regulatory, regarding use by banks of credit derivatives in covering the bank risk. Scientific novelty and results originality: developing the concept of the possibility of implementing financial derivatives in the banking sector of the Republic of Moldova, that will contribute to transfer credit risk through credit derivatives with an impact on bank performances. Scientific problems solved in this research: scientific substantiation of the causal links between financial derivatives and bank risk, financial derivatives and bank performance, highlighting the factors that determine banks to use financial derivatives (especially swaps on credit risk), what will allow to propose a coherent methodology for analysis of the use of credit derivatives in the banking sector with implications for bank performance based on econometric models. Theoretical significance of the paper: definitions of concepts of financial derivatives, bank performance, hedging and credit derivative in current regulatory framework and that of financial theory and financial instruments. The theoretical aspects presented by the author are argued by a number of advantages and recommendations that can be implemented successfully in the bank The practical value of the thesis is associated with the need to identify the possible segment in the national banking sector, that will allow to use credit derivatives to transfer credit risk, having as final aim reducing of underperforming credits with positive implications for bank performances.