1. – Lecturer, Bangladesh Institute Of Bank Management (bibm) Mirpur, Dhaka, Bangladesh
| Received
28-Sep-2012 |
Accepted
- |
Published
28-Sep-2012 |
Abstract
This study identifies the major risk areas of banks’
exposure in the capital market of Bangladesh using
various statistical tools. Using data for the period of
2009 to 2011, the study finds that banks’ investment in
the capital market is very risky for which liquidity risk,
credit risk as margin loan, and capital adequacy risk
may endanger the position of banks. The estimates of
99.9% daily VaR and the VaR violation indicate that
VaR is a reliable measure of market risk in Bangladesh.
The separation of investment banking from retail
banking can reduce the capital market risk exposures
of banks.
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