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4. DataProcessing
4.1. DataDescription
Inviewof themeasurementof the adequacy level of commercial bankscapital,wegive
the earlywarning level of capital and thedefinition indicators as shown inTable 1.The
capital isdividedintofour levels:Normal,Tight,VeryTightandExtremelyTight.Dueto
the liquidityriskhasbecomethemost fundamentalandfatal risksince2007,whilemany
financial institutions and commercial banks went bankrupt or closed down. As Basel
Committee issuedBasel III in 2010andChinaBankingRegulatoryCommission issued
TheManagementMeasures onCommercialBankLiquidityRisk in2011, liquidity risk
regulationofbanking industry is strengthened.Since that, in the studyof this paper, the
focus is on the situation of tight capital. And due to the uneven distribution of sample
categories, the red (29days) andyellow (41days) samples are too few, resulting in low
predicting accuracy. Therefore, the four-classification problem is downsized into two
classifications, where the normal adequacy level and tight adequacy level are grouped
into loosecategory,andvery tightadequacy leveland theextremely tightadequacy level
are grouped into tight category. The capital adequacy warning level data used in this
paper is thenatural tradingdaysdatabetweenAugust 1, 2014andMay11, 2018a total
of1087days.Thedataset of thenews text (unstructureddata)used in this experiment is
crawled fromfour sectionsofSinaFinancial newswebsite1 namelymacro,data, central
bankandmarket segment, as shown inTable2.
The dataset of the structured data used in the experiment is provided byWind Fi-
nancialDatabase2which is apowerful tool forfinancial information services .In theex-
periment, thedata frequency includesdaily,weekly,monthly, seasonal, semi-annualand
annual.The followingTable3 lists someof the factors.
Table2. NewsTextExamples.
Date NewsText
2018/3/15 USdollar against theCanadiandollar roseabove1.3044, thehighest in the last eightmonths.
2018/3/16 OffshoreRenminbi (CNH)wasquotedat6.3293yuanagainst aUSdollar at04:59Beijing
time, comparedwith lateWednesday inNewYork fell 223points.
Table3. TheAdequacy IndicatorsofBankCapital.
NO. Indicators DataFrequency
1 SpotExchangeRate:RMB/USD Daily
2 Banking IndustryClimate Index Seasonal
3 RMBRequiredReserveRatio Monthly
1http://finance.sina.com.cn/7x24/
2http://www.wind.com.cn
Y.Duetal. /Predicting the InterbankCapitalAdequacyLevelBasedonFinancialDataAnalysis 39
Intelligent Environments 2019
Workshop Proceedings of the 15th International Conference on Intelligent Environments
- Titel
- Intelligent Environments 2019
- Untertitel
- Workshop Proceedings of the 15th International Conference on Intelligent Environments
- Autoren
- Andrés Muñoz
- Sofia Ouhbi
- Wolfgang Minker
- Loubna Echabbi
- Miguel Navarro-Cía
- Verlag
- IOS Press BV
- Datum
- 2019
- Sprache
- deutsch
- Lizenz
- CC BY-NC 4.0
- ISBN
- 978-1-61499-983-6
- Abmessungen
- 16.0 x 24.0 cm
- Seiten
- 416
- Kategorie
- Tagungsbände