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

doi:10.21314/JOR.2023.001

	The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
	Xie, Qiwei1 ; Cheng, Lu 1; Li, Jingyu 1; Zheng, Xiaolong2
发表期刊	JOURNAL OF RISK
ISSN	1465-1211
	2023-06-01
卷号	25 期号:5 页码:23-50
通讯作者	Li, Jingyu(lijy@bjut.edu.cn)
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.
关键词	risk integration credit risk commercial banks risk dependency vine copula
DOI	10.21314/JOR.2023.001
关键词[WOS]	MARKET
收录类别	SCI
语种	英语
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]
项目资助者	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
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:001013121300003
出版者	INCISIVE MEDIA
引用统计	被引频次：1[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.ia.ac.cn/handle/173211/53697
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.