دانلود رایگان مقاله انگلیسی صورتهای مالی مبتنی بر تراکم ریسک بانکی - اشپرینگر 2017

Abstract

One of the major challenges involved in risk aggregation is the lack of risk data. Recently, researchers have found that mapping financial statements into risk types is a satisfactory way to resolve the problem of data shortage and inconsistency. Nevertheless, ignoring off-balance sheet (OBS) items has so far been regarded as the usual practice in risk aggregation, which may lead to deviations in conclusions. Hence, we improve the financial statements based risk aggregation framework by mapping OBS items into risk types. Based on 487 quarterly financial statements from all 16 listed Chinese commercial banks over the period 2007–2014, we empirically study whether the overall impact of OBS activities and the individual impact of each of the OBS risk types on total risk depend on bank size. Moreover, this research divides the sample into two subsets, during and after the subprime crisis, to find out how the subprime crisis affects risks of Chinese banks. Our empirical results show that although OBS credit risk is positively linked to total risk while OBS operational risk is negatively linked to total risk for both large and small banks, the overall impact of OBS activities on total risk depends on bank size. The overall OBS activities are positively related to the large bank’s total risk while they are negatively related to the small bank’s total risk. Besides, we also found that it is the increase of liquidity risk and market risk that leads to the larger total risk of Chinese banks during the subprime crisis.

Conclusion

In this paper, we improve the financial statements based risk aggregation framework by incorporating OBS activities into risk aggregation, which allows us to capture both onbalance and off-balance sheet risks simultaneously. In the empirical analysis, we apply this improved framework to aggregate credit, market, liquidity and operational risks by using a sample of all 16 Chinese listed commercial banks for the period 2007–2014. Then we empirically study whether the overall impact of OBS activities and the individual impact of each of the OBS risk types on total risk depend on bank size by constructing two typical Chinese commercial banks. Moreover, this research divides the samples into two subsets to find out the transformation of Chinese banks’ risks during and after the subprime crisis. Our empirical results show that the total risk of Chinese commercial banks is affected by OBS activities. Specifically, OBS credit risk is positively linked to total risk while OBS operational risk is negatively linked to total risk for both large and small banks. However, the influence degrees of each of the OBS risk types on total risk differ by banks, which further lead to the conclusion that the overall impact of OBS activities on total risk depends upon bank size. Specifically, the entire OBS activities are negatively related with the large bank’s total risk while positively related with the small bank’s total risk. Hence, the large bank’s total risk is overestimated while the small bank’s total risk is underestimated if OBS items are ignored in risk aggregation. Besides, the risk transformation analysis for Chinese commercial banks suggests that it is the increase of liquidity risk and market risk that leads to the larger total risks for both large and small banks during the subprime crisis.