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Risk and Performance of Derivatives Users : Evidence from Banks in Emerging and Recently Developed Countries

Abstract : This thesis uses quarterly and annual data on capital market prices covering the period 2003-2009 additionally to annual accounting data during the period 2003-2010 of banks in both emerging and recently developed countries. The purpose of the thesis is to investigate empirically the effect of using derivative instruments (forwards, swaps, options and futures) on bank risk and performance. Main results reveal that in except to options the other derivative types decrease bank risk. Thus, there is no proof that derivatives can be the cause of bank failure or distress. In addition, results show that using derivatives in the whole diminish bank performance. Indeed, adjudication that derivatives are beneficial is not allowed. Finally, comparing results expose that the effect of derivatives on bank risk and performance is almost the same either in banks from emerging or recently developed countries. Ultimately, the ongoing debate on implication of derivatives in the recent financial crises should be revised
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Mohamed Rochdi Keffala. Risk and Performance of Derivatives Users : Evidence from Banks in Emerging and Recently Developed Countries. Business administration. Université Claude Bernard - Lyon I; Institut des Hautes Etudes Commerciales (Carthage, Tunisie), 2012. English. ⟨NNT : 2012LYO10260⟩. ⟨tel-02879237⟩

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