文章基本信息

标题：A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks
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作者：Baoqian Wang ; Cheng Wang ; Xikun Zhang 等
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2012
卷号：3
期号：6
页码：759-765
DOI：10.4236/me.2012.36097
出版社：Scientific Research Publishing
摘要：According to the historical time series data of commercial interbank, this paper examines the interest rate fluctuation distribution characteristics, indicating that EGARCH Model can better fit the rate volatility of the interbank market interest. This paper calculates the value at risk (VaR) of five major commercial banks using EGARCH Model with such a conclusion that the difference that major commercial banks face is various. The interest risk of state-owned commercial banks and other financial institutions is more serious than the city commercial banks and foreign banks. The interest risk of rural credit cooperatives is the least serious.
关键词：GARCH Model; Interest Rate; VaR