Study on Integrated Measurement and Management of the Interest Rate Risk of Commercial Banks

摘要：

The paper puts forward that the measurement and management of the integrated interest rate risk of commercial banks should be achieved via measuring both the single business and the operation of the entire bank. The paper makes an empirical analysis with VaR method iof the inter bank loan business, and also designs the VaR model to measure the integrated interest rate risk of commercial banks. By measuring the interest rate risk of two levels, commercial banks can manage their risks properly.

关键词： commerclal bank interest rate risk VaR model Monte-Carlo simulation portfolio hedging effect

作者: Jiping Tang Yanping Tan

作者单位: School of Economics, Zhejiang University Yuquan Campus, Zhejiang University, Hangzhou, Zhejiang Prov Economic Information Centre of Zhejiang Province New No.5 Huancheng Xi Road, Hangzhou, Zhejiang Prov

会议类型: 国际会议

会议名称: International Forum of Knowledge as a Service(2010知识服务国际论坛)

会议地点: 厦门

会议语种:英文

页码: 1-5

在线出版日期: 2010-04-12（万方平台首次上网日期，不代表论文的发表时间）