Does country risk impact the banking sectors’non‑performing loans?Evidence from BRICS emerging economies

This study aims to fill the gap in the literature by specifically investigating the impact of country risk on the credit risk of the banking sectors operating in Brazil,Russia,India,China,and South Africa(BRICS),emerging countries.More specifically,we explore whether the country-specific risks,namely financial,economic,and political risks significantly impact the BRICS banking sectors’non-performing loans and also probe which risk has the most outstanding effect on credit risk.To do so,we perform panel data analysis using the quantile estimation approach covering the period 2004–2020.The empirical results reveal that the country risk significantly leads to increasing the banking sector’s credit risk and this effect is prominent in the banking sector of countries with a higher degree of non-performing loans(Q.25=−0.105,Q.50=−0.131,Q.75=−0.153,Q.95=−0.175).Furthermore,the results underscore that an emerging country’s political,economic,and financial instabilities are strongly associated with increasing the banking sector’s credit risk and a rise in political risk in particular has the most positive prominent impact on the banking sector of countries with a higher degree of non-performing loans(Q.25=−0.122,Q.50=−0.141,Q.75=−0.163,Q.95=−0.172).Moreover,the results suggest that,in addition to the banking sectorspecific determinants,credit risk is significantly impacted by the financial market development,lending interest rate,and global risk.The results are robust and have significant policy suggestions for many policymakers,bank executives,researchers,and analysts.

The Effect of the 2007/2008 Financial Crisis on Enterprise Risk Management Disclosure of Top US Banks

We document the effect of the 2007/2008 financial crisis on the volume and the quality of enterprise risk management （ERM） disclosure in the annual reports of the largest US banks, and analyze its determinants. Using a content analysis approach of the annual reports form 10-K for the years 2006, 2007, 2008, and 2009, we find that the ERM disclosure is significantly and positively associated with the crisis, bank size, board independence, duality and significantly and negatively associated with profitability, leverage, and board size. This paper seeks to fill a gap in the literature by investigating the effect of the crisis on ERM disclosure in the US banking sector context, and gives an insight into the factors affecting risk disclosure practices during the financial crisis.

Big Data Audit of Banks Based on Fuzzy Set Theory to Evaluate Risk Level

The arrival of big data era has brought new opportunities and challenges to the development of various industries in China.The explosive growth of commercial bank data has brought great pressure on internal audit.The key audit of key products limited to key business areas can no longer meet the needs.It is difficult to find abnormal and exceptional risks only by sampling analysis and static analysis.Exploring the organic integration and business processing methods between big data and bank internal audit,Internal audit work can protect the stable and sustainable development of banks under the new situation.Therefore,based on fuzzy set theory,this paper determines the membership degree of audit data through membership function,and judges the risk level of audit data,and builds a risk level evaluation system.The main features of this paper are as follows.First,it analyzes the necessity of transformation of the bank auditing in the big data environment.The second is to combine the determination of the membership function in the fuzzy set theory with the bank audit analysis,and use the model to calculate the corresponding parameters,thus establishing a risk level assessment system.The third is to propose audit risk assessment recommendations,hoping to help bank audit risk management in the big data environment.There are some shortcomings in this paper.First,the amount of data acquired is not large enough.Second,due to the lack of author’knowledge,there are still some deficiencies in the analysis of audit risk of commercial banks.

Islamic Banks Impaired Financing： Relationship Between Shariah Committee Meetings Frequency and Shariah Risks Compliance on Assets Quality

This study made a pioneering attempt to econometrically examine what factors determining impaired financing using shariah committee meetings frequency from data on Islamic banks in Malaysia and how does it affects on the quality of assets. The objective of the study is to improve assessment of their assets quality so as to increase the reliability of the financial statements. The European Central Bank may find the findings from this study useful in their exercise to assess risks and assets quality of their commercial banks, a move to tackle the ailing banks in centralizing oversight supervision in late 2014. The major components of the Islamic banks＇ assets quality are impaired financing and provisions for financing impairment. In the Islamic banks, shariah committee principally manages the shariah risks non-compliance with other risks; however because their management is not straightforward, the study uses the shariah committee meetings frequency as an indicator of the assets quality. The study found the less-than-full frequency of shariah committee meetings resulted in less guidance and conformation of shariah principles, and consequentially the quality of the assets.

Application of the Credit Metrics in the Credit Risk Management of Commercial Banks

Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualitative analysis and the quantitative analysis.Put forward by J.P.Morgan Credit Metrics model is the application of the VaR in the field of credit risk,showing great advantage in quantitative bonds and credit risk of loan.This paper studies the Credit Metrics model and analyzes the hypothesis and framework of this model,attempting to explore the application of the model in China in order to promote the realization of the risk quantification of the commercial banks of China.

Systemic Risk of Conventional and Islamic Banks: Comparison with Graphical Network Models

The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.

The New Approach for Risk Regulation in Banks

The purpose of this report is to present the necessity of proceeding to new reforms in bank regulation and to increase the stability and risk sensitivity of the capital base under applying the Standardised Credit Risk Assessment Approach (SCRA) in banks. The dynamics in the bank regulation and supervision of credit risk assessment approaches are explored. In the paper, a thorough theoretical-methodological and historical-logical analysis was made of the evolution of the development and chronology of the global regulatory frameworks for banks—Basel 1, Basel 2, and Basel 3. The contemporary projections and challenges for the banks’ management under the new regulatory and institutional changes are presented. The SCRA is a positive asset in bank capital regulation in contemporary banking. The revisions to the regulatory framework by Basel 3 are a long continuous process influenced by numerous economic, social, and political factors. The preparation of the Bulgarian banking system for a new reform of financial regulation is analyzed. The need for adoption of a new risk-based approach for capital assessment and the importance of transparency in bank financial reporting is proved.

Research Risk Factors and Management Competence of Vietnam Commercial Banks from 2006-2020

Banks are various credit institutions that perform all bank activities and other business activities. According to the nature and objectives of operation, types of banks include all the commercial banks, development banks, investment banks, policy banks, joint stock banks and other types of banks.

Stress Testing of Liquidity Maturity Transformation Risk in Banks

One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The present paper provides an approach to the measurement of liquidity maturity transformation risk within a stress testing framework,for middle-sized banks.The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures.The forward-looking way is based on a liquidity gap report,where the consideration of the counterbalancing capacity enables to gain an insight into the real liquidity needs.The measurement of both,the portfolio-value in the respective time bucket and liquidity costs,is possible.Applying the expected shortfall can easily be included into the calculation.The results show that by using historical simulation,if no sufficient data are available,expected shortfall delivers an approximate value.Still,it can serve as an indicator of insurance against extreme events.The present approach combines a scenario-based view to a possible distress with a quantitative risk measurement.Therewith,it contributes to the bank’s wide stress testing as required by the regulatory authorities.

Risk Factors of Commercial Banks in Malaysia

All kinds of risks exist in the banking industry. In order to cover these exposures, banks must manage these risk factors for better survival in any state of uncertainty. The objective is to examine the relevant risk factors that will affect the sensitivity of commercial banks in Malaysia. These factors are liquidity and interest rate risk, credit risk, market risk, operating and country risk, and exchange rate risk. A survey is conducted to solicit the appropriate factors that will influence the sensitivity of banks. Factor analysis is then used to identify the factors and a regression model is used to establish the associations. The results obtained through this research would be beneficial in constructing an effective solution or strategy to enable banks to minimize risk and possible failure in times of adversity.

The Relationship Between Credit Risk Management and Profitability Among the Commercial Banks in Kenya

Banks operate in an environment of considerable risks and uncertainty. Credit risk has always been a vicinity of concern not only to bankers but to all in the business world because the risks of a trading partner not fulfilling his obligations in full on due date can seriously jeopardize the affairs of the other partner. Credit risk management in banks has become more important not only because of the series of financial crisis that the world has experienced in the recent past, but also the introduction of Basel II Accord. The objective of the study was to establish the relationship between credit risk management and profitability in commercial banks in Kenya, Both qualitative and quantitative methods were used in order to fulfill the main purpose of the study. A regression model was used to do the empirical analysis. The results obtained from the regression model show that there is an effect of credit risk management on profitability at a reasonable level. The findings and analysis reveal that credit risk management has an effect on profitability in all the commercial banks analyzed.

The Construction of Risk Management Control System for Commercial Banks： From the Perspective of the Management Team

Risk management control （RMC） system is of vital importance to firms, especially the commercial banks. However, the existing models of risk management are always built from the perspective of financial regulators and neglect the practicability within the organization. In order to better facilitate the enterprise risk management （ERM）, this paper is trying to construct a new framework of RMC system from the standpoint of the management team. The foundations of our design are COSO ERM report, as well as multi-disciplinary theories and methods, such as economy, psychology, and behavior. We establish a three-component RMC system for commercial banks, which include setting RMC standards, monitoring RMC execution, and rewarding results from standards execution. Then, we introduce an extended three-factor RMC system model. This system and its extended framework are meaningful and referential for both theory and practice of commercial banks＇ risk management.

Research on Systemic Risk Spillover Effect of Chinese Listed Commercial Banks——Based on Quantile CoVaR Model

The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.

Credit Risk Transfer and the Performance of Commercial Banks --Based on the Panel Data

Based on the panel data, we analyze the US commercial banks＇ CRT. According to the study, we find that the introduction of CRT will increase the level of banks＇ liquid risk. The performance of bank mainly is that its supervision and review of risk will drop, based on the impact of asymmetric information, commercial Banks transfer the bad loans to investors. Through the analysis we can see that after the transfer of credit risk in commercial bank did not increase income and reduce risk. Because commercial Banks can extend more bad loans to expand its lending scale, and bad loans will increase the bank overall risk.

The Study on Integrated Risk Management of Chinese Commercial Banks

Integrated risk management becomes gradually mainstream in worldwide. With China being a member of WTO, it put forward a higher requirement for risk management of Chinese commercial banks. So, it＇s of theoretical and practical meaning to study the integrated risk management of Chinese commercial banks. Under the guidance of integrated risk management, it pointed out the identification scope, analysis methods and systematic control strategies of risk management in Chinese commercial banks.

Research on the Reasonable Strategy of the Development of Commercial Banks under the Perspective of P2P Internet Financial Risks

In this paper, we conduct research on the reasonable strategy of the development of commercial banks under the perspective of P2P Internet financial risks. P2P financial model mainly for China＇ s small and medium enterprises and individuals to provides financing services. Generally need to use e-commerce professional network platform lending to help both sides to establish lending relationship and complete the related formalities. Traditional commercial banks need reform to keep up with the novel financial tools related to the Internet financing which will be discussed below.

Analysis on Formation Causes of Interest Rate Risks of Commercial Banks in China

Economy globalization inevitably requires financial globalization. The interest rate （IR） is decided by the market, which will bring about IR risks to commercial banks （CBs）. This paper discusses the inevitability of fulfilling market IR in China and what IR risks Chinese CBs have to burden. It also analyzes the formation causes of IR risks from the exterior and the interior aspects.

Study on Credit Card Risk of Commercial Banks in Prefectural-Level Banks Based on Logistic Model

Substantial income has been brought to the bank since credit card business entering the Chinese market,giving rise to a growing number of credit card issuers and more frequent transactions,which also improves convenience of cardholders.However,the booming market of credit card caused a series of credit risk.Credit risk in commercial banks and medium-sized banks in prefectural-level city is an operational risk that cannot be ignored,if not properly handled;it will exacerbate risk control pressure.Credit card risk mainly concerns default risk,and factors causing breach varied.Credit card risk can exist in the whole process,including the customers?application for credit card,card insuring,and transaction settlement.Finding an effective way to identify a variety of credit card risk,and developing a complete and efficient monitoring system to reduce the risk of credit loss is essential for large commercial banks.In terms of smaller-scale banks in prefecture-level city,a credit scoring system to evaluate the customer's credit ability is particularly important.Dataset in this paper mainly comes from a prefecture-level city bank,and the information is anonymous and authentic.This paper starts with the more than 700 customer data of a prefecture-level city bank and comprehensively considers the status quo of credit card development in China's commercial banks and successful domestic and foreign credit risk management experiences,followed with the causes and characteristics of credit card risks,solutions,and proposals,systematically expounding credit card business risk management.This article adopts the Logistic model and the credit scoring model.Through the screening and analysis of dozens of customer's characteristic variables and the use of various commands of statistical software,a prediction model of customer default probability will be constructed.At the same time,a scoring model was introduced to set the threshold for issuing cards in a quantifiable manner to help banks predict the possibility of customer default before issuing credit cards.Finally,through the combination of multiple sets of model comparison and selection,a high level of issuance volume can be ensured,and the risk rate is minimized,which can provide a reference for banks in the practical application of credit risk control.

Central bank digital currency,loan supply,and bank failure risk:a microeconomic approach

Central bank digital currencies(CBDCs),which are legal tenders in digital form,are expected to reduce currency issuance and circulation costs and broaden the scope of monetary policy.In addition,these currencies may also reduce consumers’need for conventional demand deposits,which,in turn,increases banks’loan provision costs because deposits require higher rates of return.We use a microeconomic banking model to investigate the effects of introducing an economy-wide,account-type CBDC on a bank’s loan supply and its failure risk.Given that a CBDC is expected to lower the cost of liquidity circulation and become a strong substitute for demand deposits,both the loan supply and the bank failure risk increase.These increases are countered by subsequent increases in the rates of return on term deposits and loans,which,in turn,reduce the loan supply and thus bank failure risk.These offsetting forces lead to no significant change in banking,as long as the rate of return on loans is below a certain threshold.However,once the rate is above the threshold,bank failure risk increases,thereby undermining banking stability.The problem is more pronounced when the degree of pass-through of funding costs to the loan rate is high and the profitability of a successful project is low.Our results imply that central banks wishing to introduce an economy-wide,account-type CBDC should first monitor yields on bank loans and consider policy measures that induce banks to maintain adequate liquidity reserve levels.

Intelligent Decision Support System for Bank Loans Risk Classification

Intelligent Decision Support System (IISS) for Bank Loans Risk Classification (BLRC), based on the way of integration Artificial Neural Network (ANN) and Expert System (ES), is proposed. According to the feature of BLRC, the key financial and non-financial factors are analyzed. Meanwhile, ES and Model Base (MB) which contain ANN are designed . The general framework,interaction and integration of the system are given. In addition, how the system realizes BLRC is elucidated in detail.