TITLE

A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China's Commercial Banks

AUTHOR(S)
Baoqian Wang; Cheng Wang; Xikun Zhang
PUB. DATE
October 2012
SOURCE
Modern Economy;Oct2012, Vol. 3 Issue 6, p759
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
According to the historical time series data of commercial interbank, this paper examines the interest rate fluctuation distribution characteristics, indicating that EGARCH Model can better fit the rate volatility of the interbank market interest. This paper calculates the value at risk (VaR) of five major commercial banks using EGARCH Model with such a conclusion that the difference that major commercial banks face is various. The interest risk of state-owned commercial banks and other financial institutions is more serious than the city commercial banks and foreign banks. The interest risk of rural credit cooperatives is the least serious.
ACCESSION #
85844622

 

Related Articles

  • Relationship Lending, Foreign Banks and Financial Contagion: Evidence from Emerging Africa. Rehman, Asim // International Proceedings of Economics Development & Research;2013, Vol. 69, p6 

    Interbank markets are essential for the smooth functioning of the banking system. It has been observed that the relationships developed in these markets have adverse impacts on the propagation of financial shocks. Theory suggests that market completeness would minimize the effects of these...

  • The Two Faces of Cross-Border Banking Flows. Reinhardt, Dennis; Riddiough, Steven J // IMF Economic Review;Nov2015, Vol. 63 Issue 4, p751 

    The paper examines the determinants of cross-border interbank and intragroup funding across crisis and noncrisis periods. Using a previously unexplored data set spanning 25 banking systems, it finds that aggregate intragroup funding is unrelated to fluctuations in either global or local...

  • Interbank Liquidity Crunch and the Firm Credit Crunch: Evidence from the 2007–2009 Crisis. Iyer, Rajkamal; Peydró, José-Luis; da-Rocha-Lopes, Samuel; Schoar, Antoinette // Review of Financial Studies;Jan2014, Vol. 27 Issue 1, p347 

    We study the credit supply effects of the unexpected freeze of the European interbank market, using exhaustive Portuguese loan-level data. We find that banks that rely more on interbank borrowing before the crisis decrease their credit supply more during the crisis. The credit supply reduction...

  • The Impact of Banks Loan to SMEs on Manufacturing Output in Nigeria. Ifeakachukwu, NWOSA Philip; Olasunkanmi, OSENI Isiaq // Journal of Social & Development Sciences;May2013, Vol. 4 Issue 5, p212 

    This study examines the impact of banks loan to SMEs on manufacturing output in Nigeria for the period spanning 1992 to 2010. The study employed an error correction modeling technique and observed that banks loan to the SME sector had insignificant impact on manufacturing output both in the long...

  • SOURCES OF SHORT-TERM FINANCING. KONTUŠ, ELEONORA // International Journal of Management Cases;2012, Vol. 14 Issue 2, p178 

    The aim of the paper is, first of all, to analyze various sources of short-term financing, secondly, to explore procedures to convert different terms and conditions for various types of short-term financing sources into effective interest rates after tax and, thirdly, to establish the...

  • THE RELEVANCE OF CUSTOMER SOLVENCY AS A MAIN SOURCE FOR INTEREST AND LOANS REPAYMENT. ȚÎRLEA, Mariana Rodica // Univers Strategic;2014, Issue 2, p76 

    The goal of any banking company is profit making. In the category of banking financial products, loans have a very large share. In any bank, credit operations are based on credit agreements which include aspects related to the contracting parties, on the contract's objective materialized in the...

  • Reuters reports that Nigerian interbank lending rates shed 2.75% points.  // African Business News;11/25/2013, p34 

    The article reports that the interbank lending rates of Nigeria has declined by about 2.75 percent points as of November 2013.

  • Low points. SANDERS, BOB // New Hampshire Business Review;4/5/2013, Vol. 35 Issue 7, p5 

    The article offers information on a study conducted by a personal finance website GoBankingRates.com, related to the bank interest rates in New Hampshire which states that the banks and credit unions in the state have one of the lowest savings interest rates in the nation.

  • New players crowd N.Y. Chinese banks. Leuchter, Miriam // Crain's New York Business;9/13/93, Vol. 9 Issue 37, p3 

    Reveals the expansion of banks with ties to Hong Kong, Taiwan and mainland China in New York. Success of banks with strong ties to entrepreneurial immigrants; Aggressive expansion of China Trusts; Types of customers; Remodeling adopted by banks; Tougher competition with market participation of...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics