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Publicação
Regulatory Equivalence and Liquidity Risk Management: Impact on Banking Efficiency in Angola
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| 1.85 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Liquidity risk management is fundamental to the stability and operational resilience of banking institutions, particularly in emerging economies such as Angola, where the Banco Nacional de Angola (BNA) has pursued regulatory equivalence with European Union standards since 2020.
Given the limited availability and granularity of banking data, this study adopts an illustrative empirical approach using GARCH family models such as GARCH(1,1), EGARCH(1,1), and TGARCH(1,1), to explore return volatility dynamics in Angolan commercial banks over the period 2014–2024. The models serve as practical demonstrations of how conditional heteroskedasticity and asymmetric responses to shocks may be analysed in data-constrained contexts rather than as definitive empirical evidence of strategic effectiveness. The findings
show persistent volatility, leverage effects, and significant asymmetries, particularly under the EGARCH specification, consistent with patterns observed in emerging markets. Overall, the study demonstrates the applicability of volatility modelling to the Angolan banking sector and provides qualitative insights into liquidity risk behaviour, regulatory convergence, and operational efficiency.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Liquidity Risk Management GARCH Model Angolan Banks EGARCH Model Regulatory Equivalence and Banking Efficiency