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Risk Measurement of Interest Rate of Commercial Bank and Empirical Analysis

Author: LiPengLiang
Tutor: ZhouXiaoHua
School: Capital University of Economics
Course: Quantitative Economics
Keywords: Risk Measurement of Interest Rate VAR History Simulation Monte Carlo Simulation Empirical Analysis
CLC: F830.33
Type: Master's thesis
Year: 2006
Downloads: 674
Quote: 5
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Abstract


Along with the liberalization of interest rate of our country, the risk of interest rate becomes one of the major risks of financial market gradually. The rapid increase of the risk of interest rate has increased the possibility that the commercial bank loses or goes bankrupt. For example, the People’s Bank of China determined on October 29 , 2004 , relaxed the floating block of loan rate of RMB and allow the deposit interest rate of RMB to float downward, which means the bank will have greater independence while participating in the bond and monetary market.To deal with the negative effect that brings by the liberalization of interest rate, we must strengthen the management of the commercial bank with risk management theory. Only in this way, can we make the economy of our country develop healthily. The study on commercial bank of our country shows that, the commercial bank of our country has greater interest rate risks at present.In the last few years, the study about the interest rate risk and the studying of management, have made great progress. These results have offered very meaningful reference for the liberalization reform of interest rate of our country. At first, this paper has introduced the early method of the measurement of interest rate briefly, and then, the recent achievement of the risk measurement in detail. The paper establishing the risk measurement model of interest rate of commercial bank using the econometric and financial knowledge. Further more, this paper measure the risk of actual data by the method analysis and simulation. Finally according to the result of the model, this paper make suggestion for the risk management of commercial bank.. Second, according to real example result and the qualitative analysis, propose some suggestion for the risk management of commercial bank.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial organizations, banks > Commercial bank
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