Interest rate risk of Chinese commercial banks based on the GARCH-EVT model
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 stud...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2023-11-01
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| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-023-02321-6 |