Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

Ausloos, Marcel; Ma, Qianhui; Kaur, Parmjit; Syed, Babar; Dhesi, Gurjeet

doi:10.1007/s00500-019-04376-7

Cited by 3 publications

(5 citation statements)

References 34 publications

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“…For the rest of this section, the studies by Ausloos [8] and Liang [7] will be discussed, which mainly describe the influence of the deregulation of interest rates on commercial banks in China and put forward different suggestions according to the analysis.…”

Section: Interest Riskmentioning

confidence: 99%

“…Ausloos [8] evaluated the effects of China's interest rate liberalization on ten commercial banks with three various types of ownership in his study. Based on value-at-risk analysis, duration analysis and revisited interest rate sensitivity analysis, the approach is established.…”

Section: Interest Riskmentioning

confidence: 99%

“…In addition, they must be able to utilize cutting-edge technology, comprehend modern principles for controlling the asset and liability structure of their commercial bank and assess interest rate risks. Both Liang's [7] and Ausloos's [8] studies examine commercial banks in the same nation and provide recommendations. Liang analyzes not only the primary risks that commercial banks in China may face as a result of interest rate marketization, including Yield Curve Risk, Transitional Risk, Re-Pricing Risk, Basic Point Risk and Containing Option Risk, but also the current management of interest risk at commercial banks in China.…”

Section: Interest Riskmentioning

confidence: 99%

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The Risk Management of Commercial Banks

Chen¹

2023

BCPBM

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Commercial banks are not only the largest service sector of the real economy, but also the "bellwether" of financial industry in various countries. Their risk management has always been the focus of academic attention and hot discussion. The article reviews eight studies and discusses four main risks with their managements existed in commercial banks. The review of the four risks, interest risk, credit risk, liquidity risk and operational risk, summarizes the different methods and factors on the risk managements in commercial banks. Diverse risks have quite different methods. Some of these methods are well-established in the field of economics, whereas others are innovative, which can be examined in conjunction with other disciplines, but still need adequate empirical evidence to support them. These novel models are deserving of research and application to various forms of risk management. Moreover, some authors proposed correspondingly specific measures of risk management for commercial banks and government policymakers, while others did not.

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Section: Interest Riskmentioning

confidence: 99%

Section: Interest Riskmentioning

confidence: 99%

Section: Interest Riskmentioning

confidence: 99%

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The Risk Management of Commercial Banks

Chen¹

2023

BCPBM

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“…emphasized the importance of the service quality of commercial banks to their development. Ausloos et al (2019) proposed that after China's interest rate liberalization, all commercial banks should adopt appropriate measurement methods according to their own conditions and set up interest rate risk management departments. To follow the trend of decreasing the number of offline customers caused by Internet development, Xue et al (2019) suggested that commercial banks adjust and optimize their physical branch layout.…”

Section: Management Of Commercial Banksmentioning

confidence: 99%

The impact of gross domestic product on the financing and investment efficiency of China’s commercial banks

et al. 2021

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China’s commercial banks have developed at a very rapid speed in recent decades. However, with global economic development slowing down, the impact of gross domestic product growth as an exogenous factor cannot be ignored. Most existing studies only consider the internal factors of banks, and neglect their external economic factors. This study thus adopts an undesirable dynamic slacks-based measure under an exogenous model in combination with the Kernel density curve to explore the efficiency of state-owned commercial banks (SOCBs), joint-stock commercial banks (JSCBs), and urban commercial banks (UCBs) in China from 2012 to 2018. The results show that SOCBs have the highest overall efficiency, followed by JSCBs, then UCBs. The efficiencies of SOCBs, JSCBs, and UCBs in the financing stage are greater than those in the investment stage, indicating that the latter stage brings down overall efficiency. Thus, all commercial banks need to focus on the efficiency of non-performing loans and return on capital. Finally, SOCBs need to strengthen internal controls, reduce non-performing loans and improve return on capital. JSCBs should actively expand its business while controlling costs, and UCBs should optimize its management.

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“…the marketization of interest rates was basically completed, which provided favorable conditions for the effective implementation of price rule monetary policy (Ausloos, Ma, Kaur, Syed, & Dhesi, 2019;He, Leung, & Chong, 2013;Tan, Ji, & Huang, 2016). In fact, since the reform and opening up, China's economic structure has undergone several tremendous changes.…”

mentioning

confidence: 99%

The Effectiveness of China’s Monetary Policy: Based on the Mixed-Frequency Data

Wang

Song

Zhang

et al. 2020

Asian Economic and Financial Review

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After the period of rapid growth, the Chinese economy has entered the -new normal‖ stage. This is a sign of the expected slowdown in economic growth. In the course of development, has the effectiveness of China's monetary policy changed? Which of quantity and price rule monetary policies is more suitable for China's economy? Very few researches focus on these questions, and this paper constructed a novel Mixed-Frequency Bayesian Factor Augmented Vector AutoRegression (MF-BFAVAR for short) model by combining the dynamic factor model, mixed-frequency spirit, Bayesian estimation, and factor augmented vector autoregression to find the answer. And we applied three different frequencies of data, in order to get the best estimated results. The conclusion is that price rule monetary policy is suitable for the period of steady development, and when economic growth suffers fluctuations, quantity rule monetary policy has better performance. Therefore, monetary policymakers should formulate the most effective policy based on different situations. Contribution/ Originality:This study is one of the very few researches on the effectiveness of China's monetary policy under the -new normal‖ situation. And we construct a novel methodology framework, MF-BFAVAR, which is, as far as we know, the first time to take advantage of the dynamic factor model, mixedfrequency spirit, Bayesian estimation and factor augmented vector autoregression at the same time. Unlike the existing literature, we applied data at three different frequencies (quarterly, monthly and daily) in our estimation. INTRODUCTIONChina, as one of the world's most notable economies, has achieved amazing economic development. Since the year of 2014, the growth rate of China's GDP has been turned from -high‖ to -medium high‖. One obvious sign is that expected growth rate of GDP have been downshifted from around 10% to a 6-7%. The Chinese President Xi Jinping applied the term -new normal‖ to describe the situation in 2014. Since then, it has been used not only to describe slower economic growth, but also to describe the changes taking place in China's economy generally, such as intelligent manufacturing, poverty eradication, stricter environmental regulations (Abdul-Rahaman & Yao, 2019;

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Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

Cited by 3 publications

References 34 publications

The Risk Management of Commercial Banks

The Risk Management of Commercial Banks

The impact of gross domestic product on the financing and investment efficiency of China’s commercial banks

The Effectiveness of China’s Monetary Policy: Based on the Mixed-Frequency Data

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