The Interest-rate Risk Measurement of Chinese Commercial Banks Based on ES

摘要：

The interest rate risk of Chinese commercial banks has become increasingly prominent, and effective risk management measure can provide a reference to the risk managers, so as to control the risk. This article based on commercial banks interest-rate risk model, and chose the ES method to measure, using the Chinese interbank-lending rate to do the empirical analysis, and compared with the result of VaR model calculated by Bootstrap, thereby to provide useful guidance for the interest-risk management.

关键词： interest rate risk measurement expected shortfall

作者: WANG Jinyu JIA Bing

作者单位: School of Economics and Management, Shenyang University of Aeronautics and Astronautics,P.R.China, 110136

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 501-506

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）