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: | Xin Chen, Zhangming Shan, Decai Tang, Biao Zhou, Valentina Boamah |
---|---|
Format: | Article |
Language: | English |
Published: |
Springer Nature
2023-11-01
|
Series: | Humanities & Social Sciences Communications |
Online Access: | https://doi.org/10.1057/s41599-023-02321-6 |
Similar Items
-
Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method
by: Hossein Raghfar, et al.
Published: (2016-06-01) -
Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
by: Gueï Cyrille Okou, et al.
Published: (2023-07-01) -
Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO
by: Ghodratollah Emamverdi
Published: (1999-12-01) -
Evaluating financial fragility: a case study of Chinese banking and finance systems
by: Li Shang, et al.
Published: (2024-03-01) -
A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates
by: Thabani Ndlovu, et al.
Published: (2023-07-01)