Macro-financial analysis of value-at-risk from banking stocks in an Indian scenario
by Riyanka Baral; Sankalp Purushottam Naik; Debasis Patnaik
International Journal of Business Continuity and Risk Management (IJBCRM), Vol. 11, No. 4, 2021

Abstract: Value-at-risk (VaR) of banking stocks can be affected both by the financial ratio and macroeconomic variables. A balanced panel data of 28 Indian banks from 2005-2018 was used for the analysis. The findings of the study reveal that return on assets, consumer price index, gross domestic product, unemployment, and total investment significantly affect VaR. These findings bear policy implications for the banking sector and other stakeholders. Inflation mitigation should continue as the cornerstone of Indian monetary policy. The positive relation of VaR with unemployment demands that targeted employment approaches at urban and rural levels should be undertaken on a war footing along with labour-intensive infrastructure development providing a long-term perspective to the issue. This would help generate higher credit off-take for small scale investments at economy-wide levels, consumer demand increases with banking liquidity being put to productive use, leading to less non-performing assets and dynamic banking behaviour.

Online publication date: Tue, 04-Jan-2022

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Business Continuity and Risk Management (IJBCRM):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com