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A new market risk management approach for commercial banks' fixed‐income securities trading accounts

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Listed:
  • Chang Liu
  • Dongtao Lin
  • Yifeng Wang
  • Shuai Qi

Abstract

As the financial market in China persistently develops, the market risk of commercial banks' trading account and its risk management have become a heated topic for both financial institutions and regulatory authority. Based on the fixed‐income securities trading's daily practices of commercial banks, this paper develops a framework of market risk management for commercial banks' RMB trading accounts.

Suggested Citation

  • Chang Liu & Dongtao Lin & Yifeng Wang & Shuai Qi, 2023. "A new market risk management approach for commercial banks' fixed‐income securities trading accounts," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 225-235, January.
    • Handle: RePEc:wly:ijfiec:v:28:y:2023:i:1:p:225-235
    DOI: 10.1002/ijfe.2417
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    References listed on IDEAS

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    1. Lu, Zhaoyang, 2011. "Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(4), pages 604-616.
    2. Shrieves, Ronald E. & Dahl, Drew, 1992. "The relationship between risk and capital in commercial banks," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 439-457, April.
    3. DellʼAriccia, Giovanni & Laeven, Luc & Marquez, Robert, 2014. "Real interest rates, leverage, and bank risk-taking," Journal of Economic Theory, Elsevier, vol. 149(C), pages 65-99.
    4. Grant E. Muller & Peter J. Witbooi, 2014. "An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-11, February.
    5. Zhongyuan Geng & Xue Zhai, 2013. "Monetary Policy Instruments and Bank Risks in China," International Journal of Asian Business and Information Management (IJABIM), IGI Global, vol. 4(2), pages 57-71, April.
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