Business Faculty Publications

Document Type

Article

Publication Date

2013

Publication Title

International Journal of Financial Services Management

Keywords

Global/International Business

Disciplines

Finance and Financial Management | International Business

Abstract

The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources.

DOI

10.1504/IJFSM.2013.059608

Version

Postprint

Volume

6

Issue

4

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