The development of shadow banking system in China catalyzes the expansion of banks' off-balance-sheet activities, resulting in a distortion of China's traditional credit expansion and underestimation of its commercial banks' overall risk. This paper is the first to incorporate banks' overall...

In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...