Covid-19 and risks of Malaysian commercial banks
List of Authors
  • Rasidah Mohd-Said

Keyword
  • COVID-19, value-at-risk, banking institutions, market risk

Abstract
  • The COVID-19 pandemic has affected share prices of public listed companies including banking institutions. However, a bank's share price is of interest mainly because of the systemic risk banks may produce. Using the concept of value-at-risk (VaR) as a measure of risk, this study investigates how COVID-19 impacted the risk of eight commercial banks in Malaysia. The Impulse Response Functions (IRF) indicate that the VaRs at probability 0.05 and 0.10 respond negatively to the shock of COVID-19. The reverse, however, is observed for the VaR at probability 0.01.

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