References of "El Khoury, Ghada"
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See detailLa résilience des banques libanaises : analyse de certains aspects de la gestion des risques dans le cadre de l'accord de Bâle
El Khoury, Ghada ULg

Doctoral thesis (2011)

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 ... [more ▼]

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. [less ▲]

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See detailModèle d'équilibre des actifs financiers et autres facteurs de risque: le cas belge
Corhay, Albert ULg; El Khoury, Ghada ULg

in Corhay, Albert; Hübner, Georges; Muller, Aline (Eds.) Finance et valeur(s): Liber amicorum et discipulorum (2009)

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See detailPredicting default probability and the default recovery ratio: evidence from the Lebanese external public debt
El Khoury, Ghada ULg; Colmant, Bruno; Corhay, Albert ULg

in International Research Journal, "Banks and Bank Systems" (2009), 4(2),

With a national debt exceeding 190% of the GDP at the end of 2006, the Lebanese government is in a difficult situation. The literature on emerging markets reveals the various causes that might lead to a ... [more ▼]

With a national debt exceeding 190% of the GDP at the end of 2006, the Lebanese government is in a difficult situation. The literature on emerging markets reveals the various causes that might lead to a default on their public debt. The first objective of this paper is to analyze the evolution of the credit spread for the Lebanese US Dollar Eurobonds. The second objective is to extract both the implied default recovery ratio and the risk neutral default probability term structure for the Lebanese US dollar Eurobonds between October 2001 and November 2004. Our results show that the recovery ratio is strongly related to the market reaction linked to political and economic tension within Lebanon. For the period after the Paris II conference in November 2002, the average estimates show a decline in the default probability for the long-term period accompanied by an increase in the default recovery ratio. [less ▲]

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