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Risk Integration Mechanisms And Approaches In Banking Industry

Author

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  • JIANPING LI

    (Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100190, China)

  • JICHUANG FENG

    (Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100190, China;
    School of Management, University of Science and Technology of China, Hefei 230026, China)

  • XIAOLEI SUN

    (Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100190, China)

  • MINGLU LI

    (Bureau of Planning, National Natural Science Foundation of China, Beijing 100085, China)

Abstract

Recently, the number of consultative documents and research papers that discuss risk integration has grown considerably. This paper presents a comprehensive review of the work done on risk integration in the banking industry. This survey includes: (1) risk integration methods within regulatory frameworks and the banking industry; (2) challenges of risk integration; (3) risk interaction mechanisms; (4) development of risk integration approaches; (5) risk interaction results: diversification versus compounding effects; and (6) some future research topics in risk integration. We seek to understand developments in modeling risk integration, particularly in light of the global financial crisis of 2008 and important future research topics that emerge from both the literature and the banking industry.

Suggested Citation

  • Jianping Li & Jichuang Feng & Xiaolei Sun & Minglu Li, 2012. "Risk Integration Mechanisms And Approaches In Banking Industry," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 1183-1213.
    • Handle: RePEc:wsi:ijitdm:v:11:y:2012:i:06:n:s0219622012500320
    DOI: 10.1142/S0219622012500320
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    References listed on IDEAS

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    1. Panagiotis Papapanagiotou & Mr. Theodore M. Barnhill & Miss Liliana B Schumacher, 2000. "Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operation in South Africa," IMF Working Papers 2000/212, International Monetary Fund.
    2. Bank of Japan, 2005. "Advancing Integrated Risk Management," Bank of Japan Research Papers 2005-07-28, Bank of Japan.
    3. Carol Alexandra & Jacques Pezier, 2003. "On the Aggregation of Market and Credit Risks," ICMA Centre Discussion Papers in Finance icma-dp2003-13, Henley Business School, University of Reading.
    4. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.
    5. Andrew Kuritzkes & Til Schuermann & Scott M. Weiner, 2002. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates," Center for Financial Institutions Working Papers 03-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
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    Cited by:

    1. Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
    2. M. Andrea Arias-Serna & Jean-Michel Loubes & Francisco J. Caro-Lopera, 2020. "Risk Measures Estimation Under Wasserstein Barycenter," Papers 2008.05824, arXiv.org.
    3. Marwan Alzoubi & Ayman Abdalmajeed Alsmadi & Hamad kasasbeh, 2022. "Systemically Important Bank: A Bibliometric Analysis for the Period of 2002 to 2022," SAGE Open, , vol. 12(4), pages 21582440221, December.
    4. Chen, Rongda & Li, Cong & Wang, Weijin & Wang, Ze, 2014. "Empirical analysis on future-cash arbitrage risk with portfolio VaR," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 210-216.
    5. Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
    6. Enrico Bernardi & Silvia Romagnoli, 2016. "Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 285-310, March.

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