Measuring the Risk of China Interbank Lending Market in VaR

摘要：

Value at Risk is a very useful tool to measure financial risks.In this paper,we discuss the measurement of interest rate risk in China Interbank Lending Market in VaR with historical simulation,the parametric method and extreme value theory.We conclude that the parametric method underestimates the risk and is not suitable for the market of China.The VaRs calculated with historical simulation and extremum theory are very close,and the latter one is a little higher.We suggest combining historical simulation and extremum theory to measure the interest rate risk of China Interbank Lending Market,

关键词： Value at Risk China Interbank Lending Market historical simulation the parametric method extreme value theory

作者: Hao DING Changxin XU

作者单位: Business school,Hohai University,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 351-357

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）