Internal Ratings-Based(IRB) approach is the core of the New Basel AccordThis paper mainly exposes its framework,risk components and credit risks measurement steps,and suggests 3 steps in its implementation in domestic commercial banks of China

The Internal Ratings-Based Approach and Suggestions on Its Implementation

The Strategic Underreporting of Bank Risk

...................................................................................................................................... i Acknowledgement ..................................................................................................................... ii List of Tables ............................................................................................................................ vii List of Figures ............................................................................................................................ ix Chapter One: Introduction ......................................................................................................... 1 1.1 Background .......................................................................................................................... 1 1.2 The problems ....................................................................................................................... 2 1.3 Aim and objectives of this research ..................................................................................... 4 1.4 Contributions of this research ............................................................................................. 5 1.5 An outline of the dissertation .............................................................................................. 6 Chapter Two: Literature review ................................................................................................. 7 2.1 Studies on individual bank risk ............................................................................................ 7 2.1.1 Measurement of bank risk at individual bank level .......................................................... 7 2.1.2 Measurement of bank credit risk and market risk ........................................................... 8 2.2 Studies on z-score .............................................................................................................. 10 2.3 Studies on systemic risk ..................................................................................................... 13 2.3.1 Sources of systemic risk .................................................................................................. 13 2.3.2 Measurement of systemic risk ........................................................................................ 16 2.3.2.1 Regulatory data-based approaches ............................................................................. 16 2.3.2.2 Share market data-based approaches ......................................................................... 17 Chapter Three: Time-varying z-score, aggregate z-score and Leave-One-Out z-score measures .................................................................................................................................. 25 3.1 Challenges with the time-varying z-score measure ........................................................... 25 3.1.1 Approaches to constructing the time-varying z-score measure .................................... 25 3.1.2 Challenges in the computation of the time-varying z-score measures .......................... 28 3.2 Construction of country aggregate z-score ....................................................................... 30 3.3 Conceptual background of Leave-One-Out z-score ........................................................... 31 Chapter Four: Measuring bank risk: An exploration of z-score ............................................... 34 4.1 Research focus ................................................................................................................... 34 4.2 Data and methodology ...................................................................................................... 37

An examination of bank risk measures and their relationship to systemic risk measurement : a dissertation presented in partial fulfilment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand

Handle everyday research tasks with reliable, citation-backed results

Your personal Research Agent to handle research tasks with citation-backed results

Popular Tasks used by Researchers

How can I help with your research?

Meet SciSpace

Get more enhanced response by uploading the PDFs you want me to reference.

No relevant PDFs in your library

SciSpace is the AI research assistant for academics. Run systematic literature reviews on 280M+ papers, and write papers with cited sources. Trusted by 1M+ students, PhDs & researchers.

SciSpace | AI for Research

Analyze PDFs

Code & Manuscripts

Funding & Grants

Literature & Patents

Medical & Clinical Data

Systematic Review

Visualize & Present

Web & Data

Build a Google Scholar-like website for your research.

Build a website

Create charts and images for your research

Create a Chart

Write a paper for submission to a journal

Draft a manuscript

Patent Search

Design eye-catching scientific posters in minutes.

Scientific Poster Generation

Systematic Literature Review

One task is running at the moment. Your messages will be shown right after.

Drag and drop or click here to browse

Loved by <highlight>1 million+</highlight> researchers

Extract a list of specific topics and their sources from unstructured text

Topics

Compare and analyze relevant papers that matches with your search

Papers

Get insights from PDFs and bookmarked papers from your library

My library

Recent searches

Try searching for:

Catch AI-generated content in scholarly and non-scholarly content

{ai} Detector

Ai Writer

Get PDF Summaries, highlighted text explanations 

Chat with PDF

Effortlessly create in-text citations and bibliographies in APA and 2,500 other formats

Citation generator

Get explanations, summaries, and answers on academic papers

Ease up your research workflow with {scispace}'s cohort of exciting AI tools

Elevate your academic writing skills and convey your ideas the way you want

Paraphraser

Explore our range of reading and writing tools

Your file is being prepared and should be ready in a few minutes. If it's a large file, it might take a bit longer. You can close this window, and we'll email you the file when it's done.

You have reached a maximum limit of <strong>{limit}</strong> columns in the table. Remove at least <strong>1</strong> column to add or create another one.

Xiping Li

Author Tools

Chat about Author

Papers

An examination of bank risk measures and their relationship to systemic risk measurement : a dissertation presented in partial fulfilment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand