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VaR Method Based on GARCH Model and the interbank interest rate risk measurement

Author: ZhangXiongJian
Tutor: YanDingZuo
School: Lanzhou University
Course: Applied Mathematics
Keywords: Lending rate VaR GARCH model TARCH model Volatility
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 147
Quote: 0
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Abstract


Interbank market supply and demand of funds and timely reflect changes in financial assets effectively improve the level of profitability for financial institutions to provide a mechanism to achieve mobility . LIBOR is the core of the money market interest rate , is representative of the entire financial market interest rates. Due to a variety of factors , there is a big financial sector financial risks. In this paper, the GARCH model and the VaR methodology to measure risk , empirical tests of the interbank market interest rate risk, the VaR estimate the sequence , from the overall interest rate risk is analyzed, interbank rates there is a significant non- symmetrical effect , interest rates daily return series the distribution of fat tail characteristics. From the results of the model parameter estimation , GARCH model and estimate the effect TARCH models are better , because there is the interest rate market leverage, consider the case of asymmetric GARCH model TARCH model is superior .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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