Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method

Hongmei Li; Haigang Zhou

doi:10.1504/IJFSM.2013.059608

Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method

Hongmei Li
, Haigang Zhou

Research output: Contribution to journal › Article › peer-review

Abstract

The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources.

Original language	American English
Journal	International Journal of Financial Services Management
Volume	6
DOIs	https://doi.org/10.1504/IJFSM.2013.059608
State	Published - Jan 1 2013

Keywords

Global/International Business

Disciplines

Finance and Financial Management
International Business

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Integrated Risk Study for Chinese Commercial Banks with Fuzzy ComFinal published version, 1.45 MBLicense: CC BY

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title = "Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method",

abstract = " The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources.",

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author = "Hongmei Li and Haigang Zhou",

note = "Li, H., Zhou, H. (2013). Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method. International Journal of Financial Services Management, 6(4), pp. 334-351.",

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AU - Zhou, Haigang

N1 - Li, H., Zhou, H. (2013). Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method. International Journal of Financial Services Management, 6(4), pp. 334-351.

PY - 2013/1/1

Y1 - 2013/1/1

N2 - The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources.

AB - The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources.

KW - Global/International Business

UR - https://engagedscholarship.csuohio.edu/bus_facpub/48

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M3 - Article

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JO - International Journal of Financial Services Management

JF - International Journal of Financial Services Management

ER -

Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method

Abstract

Keywords

Disciplines

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