Interest rate risk of Chinese commercial banks based on the GARCH-EVT model
Xin Chen,
Zhangming Shan,
Decai Tang
et al.
Abstract:Interest rate market risk faced by China’s commercial banks is increasing after the announcement that the interest rate marketisation is completed. This paper examines the Value-at-Risk, and statistical properties in the daily price return of Shanghai banks’ overnight offered rate. The study applies two-stage approaches, combining GARCH-type models with extreme value theory. Firstly, the Markov regime switching model is used to test the regime states of the series. Secondly, the performance of different VaR mo… Show more
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