Duration Gap Analysis Revisited Method in Order to Improve Risk Management.The case of (Chinese) commercial bank interest rate risks after interest rate liberalization
Modern theories attach much attention to interest rate related problems. We discuss the impacts of the interest rate liberalization, in China, for (10) commercial banks of (3) markedly different ownership types. The methodology is based on revisited interest rate sensitivity analysis, duration analysis and Value-at-Risk analysis. The situation is both examined within vertical (composition of operating income and interest rate sensitivity gap for the ten banks in the same year) and horizontal (one bank over a seven-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.
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. open access article
Citation : Ausloos, M., Ma Q, Kaur, P., Syed, B., Dhesi, G.(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
Research Institute : Institute for Applied Economics and Social Value (IAESV)
Peer Reviewed : Yes