Reference : La résilience des banques libanaises : analyse de certains aspects de la gestion des ...
Dissertations and theses : Doctoral thesis
Business & economic sciences : Finance
La résilience des banques libanaises : analyse de certains aspects de la gestion des risques dans le cadre de l'accord de Bâle
[en] The resilience of Lebanese Banks : Analysis of certain aspects of risk management within the framework of Basel accord
El Khoury, Ghada [Université de Liège - ULiège > HEC-Ecole de gestion > HEC-Ecole de gestion >]
University of Liège, ​Liège, ​​Belgium
Ph.D in Business & Economic sciences
Corhay, Albert mailto
Colmant, Bruno mailto
Muller, Aline mailto
Quaden, Guy mailto
Michel, Pierre-Armand mailto
Awad, Amine mailto
[en] Regulatory and Economic Capital ; Probability of Default ; Sovereign Risk ; Risk management ; Procyclicality ; Lebanese Banks
[en] Located in an environment of high uncertainty, supervisors in Lebanon have decided to comply with regulations issued by the Basel Accords and to monitor the new Basel Committee prudential framework. This thesis focuses on the Lebanese banking sector and on Basel II specific aspects in the Lebanese context.
Four research areas are covered :
1. Evaluation of the capitalization level of Lebanese banks as required by Basel II prudential standards.
2. Lebanese sovereign risk analysis and its impact on the sustainability of banks through the measurement of probability of default of the Lebanese state on its Eurobonds denominated in U.S. dollars.
3. Examining the question of bank balance sheet procyclicality generated by the accounting and prudential framework, and by contextual factors specific to the resilience of the Lebanese banking sector.
4. Evaluation of the adaptation level of the Lebanese banking sector to new risk management approaches by estimating the probability that banks will well manage their risks.
From a comparative analysis of the regulatory and economic capital, we found that 14 banks have a high economic capital relative to regulatory capital under Basel II in 2005. We also observed that the risks faced by Lebanese banks are primarily related to credit risk and sovereign risk in particular. Applying the valuation model of default risk, developed by Merrick (2001), and based on a review of scientific literature, we proposed a synthetic measure of credit risk of the Lebanese US dollar denominated Eurobonds. The results show that changes in the probability of default and recovery rates are explained by the trust vis-à-vis the market and state.
Based on a review of the scientific literature, we have developed theories of economic fluctuations and financial instability. The analyses of procyclicality in the Lebanese context have shown that the factors leading to a balance sheet procyclicality in the Lebanese banking sector are atypical. We have also shown the resilience of the Lebanese banking sector to recent shocks and crises.
Through a survey conducted between November 2009 and February 2010, we assessed the level of adaptation of the Lebanese banking sector to new risk management approaches. The results show that some banks have become more aware of the importance of developing proper risk management practices. Therefore, other banks remain in a precarious stage.
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