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Evaluation research on commercial bank counterparty credit risk management based on new intuitionistic fuzzy method

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Abstract

Over the past few years, the world economy is still in a profound adjustment stage after financial crisis, and it will continue to maintain a “New Mediocre” situation. It is clear that multiple risk factors, such as the issue of Brexit and European refugees, will increase the uncertainty of world economy growth. Under such economic development condition, it is obvious that the development of commercial bank will face a challenge; especially, the development of off-balance sheet business has received more attention from the commercial bank. Therefore, the counterparty credit risk has been brought into focus by the government and regulatory authority. This paper employs the new intuitionistic fuzzy method to improve the score function, and it aims to establish an evaluation mechanism of commercial bank counterparty credit risk management. By selecting the representative Chinese commercial banks, this paper conducts an empirical analysis to verify the validity of the evaluation system and make certain effectiveness evaluation.

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Acknowledgements

This study was funded by four foundations; they are National Social Science Foundation of China (No. 16BJL037), National Natural Science Foundation of China (No. 71771066), National Natural Science Foundation of China (No. 71532004) and National Natural Science Foundation of China (No. LBH-Q14096)

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Authors and Affiliations

  1. School of Management, Harbin Institute of Technology, Harbin, 150001, China

    Qian Liu & Chong Wu

  2. School of Finance, Harbin University of Commerce, Harbin, 150028, China

    Qian Liu & Lingyan Lou

  3. School of Economics and Management, Harbin Engineering University, Harbin, 150001, China

    Lingyan Lou

Authors
  1. Qian Liu
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  2. Chong Wu
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  3. Lingyan Lou
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Corresponding author

Correspondence to Qian Liu.

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All the authors declare that they have no conflict of interest.

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Research is not involved with human participants and/or animals.

Additional information

Communicated by X. Li.

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Liu, Q., Wu, C. & Lou, L. Evaluation research on commercial bank counterparty credit risk management based on new intuitionistic fuzzy method. Soft Comput 22, 5363–5375 (2018). https://doi.org/10.1007/s00500-018-3042-z

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  • DOI: https://doi.org/10.1007/s00500-018-3042-z

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