会议专题

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

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.

interest rate risk measurement expected shortfall

WANG Jinyu JIA Bing

School of Economics and Management, Shenyang University of Aeronautics and Astronautics,P.R.China, 110136

国际会议

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

威海

英文

501-506

2010-07-24(万方平台首次上网日期,不代表论文的发表时间)