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Duration gap and net worth risk for Islamic and conventional banks: a comparative cross country analysis

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Date
2010
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Abstract
This paper undertakes a comparative analysis of the Duration Gap and Net Worth (NW) risk of Islamic Commercial Banks (ICBs) and Conventional Commercial Banks (CCBs). Though Islamic banks work on interest-free principles, the vast majority of the world’s ICBs operate within dual banking systems. The inevitable flow of funds between the two banking systems and the common customer base implies that ICBs would have the same exposures as CCBs. Our sample consists of a total of 60 commercial banks from nine Islamic countries. These were made up of 30 ICBs and 30 CCBs. Each ICB had a CCB pair of approximately equal asset size in US $ terms.
Keywords
Islamic Commercial Banks (ICBs) , Conventional Commercial Banks (CCBs) , Interest rate risk
Citation
Chattha, J. A., & and Bacha, O. I. (2010). Duration gap and net worth risk for Islamic and conventional banks: a comparative cross country analysis. Review of Islamic Economics, 13(2), 5-33.
Publisher
International Association for Islamic Economics
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