<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Commercial bank asset-liability management is a method of overall risk control and resource allocation. It has an essential impact on commercial banks’ operational safety and affects the stability of a country's overall financial system due to the domino effect. The article chooses the regression function model to measure the expected default frequency (EDF) in the resource allocation risk of Chinese banks. It analyses the transmission process of the impact of the main macroeconomic variables on the EDF of the resource allocation risk of Chinese commercial banks. The study found that under the significance level of 5%, standardised industrial output growth rate, money supply growth rate, and real estate price index are the main reasons for the changes in bank resource allocation risk EDF.</p>
</abstract>

Commercial bank asset-liability management is a method of overall risk control and resource allocation. It has an essential impact on commercial banks’ operational safety and affects the stability of a country's overall financial system due to the domino effect. The article chooses the regression function model to measure the expected default frequency (EDF) in the resource allocation risk of Chinese banks. It analyses the transmission process of the impact of the main macroeconomic variables on the EDF of the resource allocation risk of Chinese commercial banks. The study found that under the significance level of 5%, standardised industrial output growth rate, money supply growth rate, and real estate price index are the main reasons for the changes in bank resource allocation risk EDF.

Regression function model in risk management of bank resource allocation

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Regression function model in risk management of bank resource allocation"}

Commercial bank asset-liability management is a method of overall risk control and resource allocation. It has an essential impact on commercial banks’...

Regression function model in risk management of bank resource allocation

Published Online: Dec 30, 2021

Page range: 661 - 668

Received: Jun 17, 2021

Accepted: Sep 24, 2021

DOI: https://doi.org/10.2478/amns.2021.1.00093

Keywords
ice EDF model, regression function model, bank resource allocation, credit risk, expected default frequency

© 2021 Hongzhi Zhang, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

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Regression function model in risk management of bank resource allocation

Published Online: Dec 30, 2021

Page range: 661 - 668

Received: Jun 17, 2021

Accepted: Sep 24, 2021

DOI: https://doi.org/10.2478/amns.2021.1.00093

Keywordsice EDF model, regression function model, bank resource allocation, credit risk, expected default frequency

© 2021 Hongzhi Zhang, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fig. 3

Fig. 4

Fig. 5

Keywords
ice EDF model, regression function model, bank resource allocation, credit risk, expected default frequency