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Rate Risk Model for Our Commercial Bank and Practice

Author: LiuWeiWei
Tutor: XuPeng
School: Hunan University
Course: Statistics
Keywords: Commercial bank rate risk ARCH model VaR
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 225
Quote: 1
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Abstract


With our rate market starting in 1996, the environment for management of commercial bank is undertaking, so that the effect of the rate is becoming more and more important. The change of rate can directly influence the management cost and and proceeds and the value of other assets owned by commercial banks. When the rate change dramaticly, it can make the unprepared commercial banks into management mess, some will led to broken for graveness loss. In this case, it is important to improve the awareness of the management rate risk and the control ability. Present our commercial bank is weak in theory of the management of the rate risk and the practice. Consequently, it is necessary to borrowing abroad banks on their advanced technical tool for management of rate risk and the advanced theory models, which will be used under our own status, to form a scientific-full mesurement and control system. That will be able to keep away and slove the rate risk, which will be a important significance to improve the level of management.Base on above thinking, this thesis took our rate market and innovation of commercial bank as the background, firstly, this thesis makes the theory analysis on the rate risk of our commercial banks, which includes the defination, cause, expression of commercial bank effected our commercial banks. Then this thesis comparatively analysises on our present own mesurement method, to analysis what its advantage and disadvantage, and then to put forward the fundamental and theory, also to establish a worth-exploring measurement of rate risk for our commercial banks. This method is based on the VaR measurement of model ARCH. Next, using the Var measurement of ARCH model to demostrate study on the rate risk which is our commercial banks facing. The demosrate shows the Var measurement of ARCH model can better slove the problem which put forth by establishing fundamental and theory, which is better measurement method. Meanwhile, after demostration there comes some conclutions: 1. our maket rate changed frequently, the fluctuation is also great; 2. The price is sensitive to the information among banks borrowing, which accounts that we made a certain acchivements on rate of banks borrowing when establishing the market, and our banks borrwoing is tending to wholesome; 3. Only taking on date balance of each banks borrowing market as variable, it can find that, our commercial bank date risk is huge. Finally, according to the relative demostration, this thesis put forwad the detailed avaliable method to guard and control rate risk of our commercial banks, which means to be the scientific rational reference for our commercal banks in the rate market.

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