The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
文献类型：期刊论文
| 作者 | Xie, Qiwei1 ; Cheng, Lu1; Li, Jingyu1; Zheng, Xiaolong2
|
| 刊名 | JOURNAL OF RISK
 |
| 出版日期 | 2023-06-01 |
| 卷号 | 25期号:5页码:23-50 |
| 关键词 | risk integration credit risk commercial banks risk dependency vine copula |
| ISSN号 | 1465-1211 |
| DOI | 10.21314/JOR.2023.001 |
| 通讯作者 | Li, Jingyu(lijy@bjut.edu.cn) |
| 英文摘要 | Current research on commercial bank credit risk mainly focuses on the risk of loans and advances without considering the treasury operations and off-balance-sheet credit business that also carry credit risk. Ignoring the correlation between diverse risk factors results in the biased integration of credit risk. In this work, we aggregate the credit risk of commercial banks based on three risk factors using a vine copula. Our empirical results show that banks that are not global systemically important banks are confronted with higher credit risk than global systemically important banks. In addition, the risk of loans-and-advances business is positively correlated with treasury operations risk and negatively correlated with off-balance-sheet credit business. While the risk of loans-and-advances business is significant, the risks of treasury operations and off-balance-sheet credit business still play an indispensable role in (and contain vital information about) credit risk. In addition, banking as a system can achieve lower credit risk, but this effect is weakened under the extreme lower-tail risk. |
| WOS关键词 | MARKET |
| 资助项目 | National Natural Science Foundation of China[72225011] ; National Natural Science Foundation of China[72201012] ; China Postdoctoral Science Foundation[2020M680281] ; State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences ; Beijing Natural Science Foundation[9202002] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:001013121300003 |
| 出版者 | INCISIVE MEDIA |
| 资助机构 | National Natural Science Foundation of China ; China Postdoctoral Science Foundation ; State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences ; Beijing Natural Science Foundation |
| 源URL | [http://ir.ia.ac.cn/handle/173211/53696]  |
| 专题 | 多模态人工智能系统全国重点实验室 |
| 通讯作者 | Li, Jingyu |
| 作者单位 | 1.Beijing Univ Technol, Sch Econ & Management, 100 Pingleyuan, Beijing 100124, Peoples R China 2.Chinese Acad Sci, Inst Automat, 95 Zhongguancun East Rd, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xie, Qiwei,Cheng, Lu,Li, Jingyu,et al. The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk[J]. JOURNAL OF RISK,2023,25(5):23-50. |
| APA | Xie, Qiwei,Cheng, Lu,Li, Jingyu,&Zheng, Xiaolong.(2023).The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk.JOURNAL OF RISK,25(5),23-50. |
| MLA | Xie, Qiwei,et al."The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk".JOURNAL OF RISK 25.5(2023):23-50. |
入库方式： OAI收割
来源：自动化研究所
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