B. Q. WANG ET AL.
Copyright © 2012 SciRes. ME
764
success
si
rket conditions heteroscedastic. Take the condi-
tio
e of statistical description, it can be
th
could be a useful tool for commercial banks to undergo
the risk management by using VaR estimation.
Establish the model of ARCH (1), GARCH (1, 1),
TGARCH (1, 1) and EGARCH (2, 1) and make- [2
ve comparison. The AIC and SC of EGARCH (2, 1) is
the smallest, the LL value of TGARCH (1, 1) is smaller
than EGARCH (2, 1) but the fitting coefficient of
EGARCH (2, 1) is larger than TGARCH (1, 1). In com-
prehension, EGARCH (2, 1) can better describe the dis-
tribution of the series of the interest rate of inter lending
and borrowing market in china’s commercial banks, and
as a result, EGARCH (2, 1) could be used as the fitting
model.
Use EGARCH (2, 1) model to calculate the interest
rate ma
ns heteroscedastic into VaR model so that the dynamic
VaR estimation of night and 7-day lending position could
be figured out according to the daily net trading positions,
on the confidence level of 99%. From the final results, it
could be seen that the fluctuation of china’s interest rate
in the interbank lending and borrowing market is serious
and violate, indicating china’s interest rate in the inter-
bank lending and borrowing market has been fully mar
ket-oriented.
From the Bank lending and borrowing yields dynamic
the VaR valuseen [9] Y.-T. Cheng and Z. P. Du, “EGARCH Model in the In-
terbank Offered Rate Forecast,” Hubei Institute for Na-
tionalities, Vol. 1, No. 6, 2007, pp. 234-237.
at the risk value and the standard deviation of national
commercial Banks and other financial institutions is big-
ger, and dramatically changed. City commercial Banks
and foreign banks’ interest rate risk value is smaller, the
performance was stable. The risk of rural credit coopera-
tives is the smallest and the most stable. According to the
value, the risk of china’s state-owned commercial Banks
and other financial institutions is the largest, followed by
city commercial banks and foreign banks and finally are
the rural credit cooperatives the scale of assets and li-
abilities of China’s rural credit cooperatives and foreign
banks is relatively small, with a small amount of money
lending and more borrowing money from the capital side,
which means a small corresponding dynamic VaR. For
national commercial banks, city commercial banks and
other financial institutions, their scale of assets and li-
abilities is larger and more dynamic, so it has the higher
risk in VaR.
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