The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk

doi:10.21314/JOR.2023.001

CORC > 自动化研究所 > 中国科学院自动化研究所 > 多模态人工智能系统全国重点实验室

	The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
	Xie, Qiwei 2; Cheng, Lu 2; Li, Jingyu 2; Zheng, Xiaolong 1
刊名	JOURNAL OF RISK
	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.
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关键词	MARKET
WOS研究方向	Business & Economics
语种	英语
出版者	INCISIVE MEDIA
WOS记录号	WOS:001013121300003
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
内容类型	期刊论文
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.Chinese Acad Sci, Inst Automat, 95 Zhongguancun East Rd, Beijing 100190, Peoples R China 2.Beijing Univ Technol, Sch Econ & Management, 100 Pingleyuan, Beijing 100124, 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.