L' impact du risque opérationnel sur le risque de crédit et le risque de liquidité

cas des banques tunisiennes

Auteurs-es

DOI :

https://doi.org/10.59051/joaf.v11i1.393

Résumé

Cette étude tente de vérifier s’il existe une interaction entre le risque opérationnel et les autres risques financiers. L'interaction entre le risque opérationnel et les autres risques imprègne toute la gamme des événements défavorables qui affectent les résultats bancaires dans les pays en vois de développement. L'interaction résume la dynamique réelle du risque opérationnel dans le secteur bancaire. De cette façon, un risque opérationnel augmente la probabilité que les contreparties soient en défaut de paiement. Une interaction similaire existe entre le risque opérationnel et le risque de liquidité. Nous effectuons des tests de causalité de Granger dans un cadre dynamique d’estimation de panel GMM sur un ensemble de données sur les banques tunisiennes, qui comprend principalement 10 banques cotées de 1998 à 2016. Nous montrons que le risque opérationnel est positivement corrélé avec le risque de crédit. Cependant, il n’a pas d’impact significatif sur le risque de liquidité.

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2020-06-30

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BOUABDALLAH, narjess, & HENCHIRI, jamel E. (2020). L’ impact du risque opérationnel sur le risque de crédit et le risque de liquidité: cas des banques tunisiennes. Journal of Academic Finance, 11(1), 151–175. https://doi.org/10.59051/joaf.v11i1.393

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