Dissertation > Excellent graduate degree dissertation topics show

Duration model analysis and its application

Author: ZuoWeiFeng
Tutor: DengChao
School: Central South University
Course: Finance
Keywords: Interest rate market Interest rate risk measurement Duration Model Modified duration gap
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 546
Quote: 3
Read: Download Dissertation

Abstract


The pace of market-oriented reforms and economic restructuring of China 's interest rates are basically the same, take the progressive reform . China has basically achieved near medium-term target for the interest rate market , can be predicted that in the near future , China is bound to realize the full interest rate market . In the interest rate market conditions , China's commercial banks will be faced with a major market risk - interest rate risk . Therefore , strengthening the management of interest rate risk , the direction of one of China 's commercial banks should be strengthened . Measure the interest rate risk of the method and its accuracy is one of the most important topics of interest rate risk management of commercial banks . With the rapid advance of China 's market-oriented interest rate reform , Calls for the introduction and development of new practical interest rate risk quantitative analysis tools , which is the need to improve the theory and practice of the development of China 's commercial banks interest rate risk management of commercial banks in China , is also joining the WTO urgent requirement of facing the competition of foreign banks , to improve its overall strength . Duration model and its gap technology is recognized as the international banking industry since the 1990s , one of the most reliable standard interest rate risk management and measure . In Western countries, the duration of the model and its gap in financial markets has reached a very high level . This article briefly describes the traditional Macaulay duration model , convexity theory , FW duration model , the effective duration of the model , the model with the direction of the random duration duration model ; systematic research , compare and review the background of these models and theories advantages and disadvantages and Scope ; interest rate risk management tools - Interest rate sensitive gap and duration gap technology comprehensive comparative study ; duration gap model because of two important assumptions greatly limits its practical application value , by relaxing these two assumptions , first proposed a new model of the modified duration gap and amendments crown gap . Finally, according to the actual situation of the modified duration gap model as well as a commercial bank branch in Hunan Province empirical analysis , and proposed the corresponding countermeasures and suggestions to the interest rate risk of the line .

Related Dissertations

  1. Study on Interest Rate Risk Management of Commercial Bank,F832.2
  2. Empirical Research on Interest Risk in Chinese Commercial Bank,F832.2
  3. Analysis on the Measurement of Interest Rate Risk of Commercial Banks of China,F224;F832.33
  4. Commercial Banks' Credit Risk Management,F832.4
  5. Comparative Analysis of Duration Model Based on Commercial Bank Interest Rate Risk Management,F832.2
  6. UHF Modeling and Analysis of Financial Time Series,F830
  7. The Autoregressive Conditional Duration Model and Empirical Research,F224
  8. China's commercial banks interest rate risk measurement study,F224
  9. The Research on Rural Financing Based on Marketization of Bank Interest Rate in Rural Areas,F275
  10. A Study on Interest Rate Risk Management of Commercial Banks under Interest Rate Marketization,F832.2
  11. The Study of Interest Rate Risk Management in Our Commercial Banks under the Interest Rate Marketization Reform,F832.2
  12. Interest Rate Swap and Its Application in China,F822.0
  13. Study on Loan Pricing Problem of Commercial Bank,F832.4
  14. Study on China’s Interest Rate Liberalization Based on Transmission Mechanism,F822.0
  15. The important immune Tools of the interest rate risk management,F830.4
  16. China 's commercial banks to interest rate risk research,F832.2
  17. As China's benchmark interest rate market SHIBOR running feasibility studies,F224
  18. Analysis of Internal Fund Transfer Pricing System in Commercial Bank,F832.2
  19. The Impact of Open Market Operations on China’s Interest Rate Market and Stock Market,F822.0
  20. Improve the RMB interbank market operation mechanism of,F822.0

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile