Study on Integrated Measurement and Management of the Interest Rate Risk of Commercial Banks

机译：商业银行利率风险综合测度与管理研究

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The paper puts forward that the measurement and management of the integrated interest rate risk of commercial banks should be achieved via measuring both the single business and the operation of the entire bank. The paper makes an empirical analysis with VaR method iof the inter bank loan business, and also designs the VaR model to measure the integrated interest rate risk of commercial banks. By measuring the interest rate risk of two levels, commercial banks can manage their risks properly.

机译：提出商业银行综合利率风险的计量和管理应通过对单一业务和整个银行经营的计量来实现。本文对银行间同业拆借业务采用VaR方法进行了实证分析，并设计了VaR模型来衡量商业银行的综合利率风险。通过测量两个级别的利率风险，商业银行可以适当地管理其风险。

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来源
《International Forum of Knowledge as a Service(2010知识服务国际论坛）》|2010年|p.1-5|共5页
会议地点 Xiamen(CN)
作者
Jiping Tang; Yanping Tan;
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作者单位

School of Economics, Zhejiang University Yuquan Campus, Zhejiang University, Hangzhou, Zhejiang Province, China;

Economic Information Centre of Zhejiang Province New No.5 Huancheng Xi Road, Hangzhou, Zhejiang Province, China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类
关键词
commerclal bank; interest rate risk; VaR model; Monte-Carlo simulation; portfolio hedging effect;

机译：商业银行利率风险VaR模型蒙特卡罗模拟投资组合对冲效应;

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Study on Integrated Measurement and Management of the Interest Rate Risk of Commercial Banks

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