Interbank Market Interest Rate Risk Measure An Empirical Study Based on VaR Model

Financial Statistical Journal

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Title Interbank Market Interest Rate Risk Measure An Empirical Study Based on VaR Model
Creator Peng, Yuanyuan
Cheng, Luoyuan
Zhu, Yue
Description In this paper, we use the VaR model to study the daily weighted average interest rate of the interbank market in China from January 4, 2013 to October 30, 2014, and establish the interest rate risk measure of China's interbank lending market based on GARCH model (GARCH (1,1) / TARCH (1,1) / EGARCH (1,1)), the following conclusions are drawn: t distribution is not suitable for describing the distribution of interbank lending rate series in China, the generalized error distribution Which can better describe the distribution of interbank lending rates in China. According to the sample data, the risk of interbank lending rates at the present stage is also low.
Publisher EnPress Publisher LLC
Date 2018-02-07
Type info:eu-repo/semantics/article
Peer-reviewed Article
Format application/pdf
Source Financial Statistical Journal; Vol 1, No 1 (Published)
Language eng
Rights Copyright (c) 2018 Financial Statistical Journal

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