Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

Journal article


Dhesi, G., Ausloos, M., Ma, Q., Kaur, P. and Syed, B. (2019). Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization. Soft Computing.
AuthorsDhesi, G., Ausloos, M., Ma, Q., Kaur, P. and Syed, B.
Abstract

Modern theories attach much attention to interest rate-related problems. We discuss the impacts of the interest rate liberalization, in China, for ten commercial banks of three markedly different ownership types. The methodology is based on revisited interest rate sensitivity analysis, duration analysis and value-at-risk analysis. The situation is examined within both vertical (composition of operating income and interest rate sensitivity gap for the ten banks in the same year) and horizontal (one bank over a 7-year period) aspects. Thereafter, we discuss the present management of interest rate risks by such banks. We conclude with several suggestions on how such commercial banks risk management can be refocused and on how their cases can be used for comforting other banking cases.

Year2019
JournalSoft Computing
PublisherSpringer
ISSN1432-7643
Digital Object Identifier (DOI)doi:10.1007/s00500-019-04376-7
Publication dates
Print23 Oct 2019
Publication process dates
Accepted10 Sep 2019
Deposited29 Oct 2019
Publisher's version
License
CC BY 4.0
File Access Level
Open
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https://openresearch.lsbu.ac.uk/item/88552

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