Abstract
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.
Highlights
Since 1996, the speed of China’s market interest rate process put fast gradually, letting go the interest rate of the inter-bank market interest treasury bonds and policy financial bonds
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
Summary
Since 1996, the speed of China’s market interest rate process put fast gradually, letting go the interest rate of the inter-bank market interest treasury bonds and policy financial bonds. Domestic and foreign currency loans and large foreign currency deposit rates are involved. Long-term RMB large deposit agreement is available and at the same time china gradually expands the floating range of RMB deposit and lending rates. With the market operation of china’s interest rate, the issue of interest rate risk measurement and management has become unavoidable. By using statistical knowledge and VaR model, this paper analyzes China’s interest rate market risk distribution patterns and quantifies the interest rate risk of commercial banks in China
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