Jianping Li / Xiaoqian Zhu / Lu Wei
Financial Statements-Based Bank Risk Aggregation
- Springer Nature Singapore
- 2023
- Taschenbuch
- 220 Seiten
- ISBN 9789811904103
This book proposes a bank risk aggregation framework based on financial statements. Specifically, bank risk aggregation is of great importance to maintain stable operation of banking industry and prevent financial crisis. A major obstacle to bank risk management is the problem of data shortage, which makes many quantitative risk aggregation approaches typically fail. Recently, to overcome the problem of inaccurate total risk results caused by the shortage of risk data, some researchers have proposed a series of financial statements-based bank risk aggregation approaches. However, the existing studies have drawbacks of low frequency and time lag of financial statements data and usually ignore off-balance sheet business risk
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