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Simulation Study on the Market-oriented Lending Interest Rate Risk Management

Author: LvLinLin
Tutor: JiaoJiWen
School: Shandong University
Course: Management Science and Engineering
Keywords: Interest rate market Interest rate risk management Principal component analysis VaR Monte Carlo simulation
CLC: F822.0
Type: Master's thesis
Year: 2010
Downloads: 275
Quote: 0
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Abstract


Interest rates as one of the important lever for regulating the economy, optimize the allocation of resources, the role of regulating the supply and demand of capital, is one of the national macro-control tools. The interest rate market is the key to financial entities and national economy to achieve real market, an important stage in the process of marketization in the interest rate market is the financial and economic insurmountable. From the 1992 release of the inter-bank lending market interest rates, the interest rate market-oriented reforms already carried out quietly. In the ten years of the reform process, the market-oriented reform has been steady progress. Of course, fluctuations in interest rates will bring economic activity increased uncertainty, the risks faced by the financial economic agents which increase in the presence of a variety of risk will affect the development of the entire national economy and the conduct of the reform of the financial system. But this does not prevent the conduct of market-oriented interest rate reform, as long as the government and financial institutions managers to improve the management level of the interest rate market risk and the ability to fully understand the conduction mechanism of the interest rate risk, to grasp the impact of the interest rate risk factors, the use of state-of-the-art interest rate risk management methods and tools to establish an effective interest rate policy, can weaken or even prevent the risk of occurrence. Moreover, only in this way that we can steadily push forward market-oriented interest rate reform process, optimize the allocation of financial resources, strengthen financial supervision to guard against and defuse financial risks, make better financial services for economic and social development. With the conduct of market-oriented, market-oriented interest rate reform ideas in lending rates gradually put on the agenda, then the loan interest rate market and what the risks are and the size of the risk measurement will be how much? This is the thesis focus on the content of the study. The content of this arrangement include the following parts: Part 1: significance of system thesis research purposes, given the main research methodology and framework; Part II: the domestic and foreign scholars in the marketization of interest rates and interest rate risk the status quo, a brief review of China's market-oriented interest rate reform ideas and processes, and issues related to the interest rate risk management and interest rates more detailed analysis of influencing factors. Part III: the introduction of quantitative methods. The main steps of the statistical analysis methods, the basic principles of the value at risk measurement, pressure tests in the three main methods of computation and extreme environments. Part IV: combination of statistical analysis software and risk measurement software on our loan interest rate market rate risk arising from the size and form of preliminary exploration and measurement and calculation. According to the statistical distribution of the characteristics of the linear relationship between the equations and variables, the 5000 Monte Carlo simulation using Crystal Ball software to obtain the size of the value-at-risk and stress testing under extreme scenarios, to provide data for the loan interest rate market risk management foundation. The main method of combining qualitative and quantitative analysis of loan interest rate market risk measure, the main innovation is that the loan interest rate market analysis.

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CLC: > Economic > Fiscal, monetary > Currency > China's currency > Principle of policy and its elaborate
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