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Books > Business & Economics > Economics > Economic theory & philosophy
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Financial Statements-Based Bank Risk Aggregation (Hardcover, 1st ed. 2022)
Loot Price: R3,894
Discovery Miles 38 940
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Financial Statements-Based Bank Risk Aggregation (Hardcover, 1st ed. 2022)
Series: Innovation in Risk Analysis
Expected to ship within 12 - 19 working days
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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 in bank risk aggregation. Thus, by
reviewing the research progress in bank risk aggregation based on
financial statements and improving the drawbacks of existing
methods, this book proposes a bank risk aggregation framework based
on financial statements. It makes full use of information recorded
in financial statements, including income statement, on- and
off-balance sheet assets, and textual risk disclosures, which
solves the problem of data shortage in bank risk aggregation to
some extent and improves the reliability and rationality of bank
risk aggregation results. This book not only improves the
theoretical studies of bank risk aggregation, but also provides an
important support for the capital allocation of the banking
industry in practice. Thus, this book has theoretical and practical
importance for bank managers and researchers of bank risk
management.
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