Footnote:
In: Finance and Sustainability: Towards a New Paradigm? A Post-Crisis Agenda (Critical Studies on Corporate Responsibility, Governance and Sustainability), Volume 2, pp.325-347, 2011
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2011 erstellt
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Description:
Our objective consists to study a specific risk called the displaced commercial risk (DCR) that results from the management of PSIA funds.This risk is peculiar to Islamic banks and is considered as a new risk in the banking risk literature. Our aim is to identify and assess the DCR. We develop an internal model based on value at risk (VaR). The equity level will be obtained by the VaR for a given probability level, a, and a given horizon of time. We illustrate this approach with a case study of an Islamic bank. We consider our research as original since we apply a VaR method to a new banking issue, although this approach is quite standard and even in debate. Our approach is simple way to highlight key factors and structural relations affecting the DCR