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Liquidity Risk Measurement of Commercial Bank based EGARCH-POT Model

机译：基于EGARCH-POT模型的商业银行流动性风险计量

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摘要

Liquidity risk measurement is the basis for effective liquidity risk management of commercial bank. Liquidity gap is selected as the measurement index. It is tested that logarithmic difference time series of the bank liquidity gap have the characteristics of peak and fat tail distribution and high-order ARCH effect. Risk measuring method based on EGARCH model and POT model can better reflect the peak and fat tail characteristics of its residual series. Therefore EGARCHPOT model is established for measure the liquidity risk. By using the maximum likelihood estimation method for EGARCH model's perturbation parameter estimation, the values of VaR and ES are calculated and tested. After comparing with the values under normal distribution, it can make the conclusion that EGARCH-POT Model can improve the accuracy of liquidity risk measurement of commercial bank.
机译：流动性风险计量是商业银行有效流动性风险管理的基础。选择流动性缺口作为衡量指标。测试表明，银行流动性缺口的对数差异时间序列具有峰值和尾部分布以及高阶ARCH效应的特征。基于EGARCH模型和POT模型的风险度量方法可以更好地反映其残差序列的峰尾特征。因此建立了用于衡量流动性风险的EGARCHPOT模型。通过使用最大似然估计方法进行EGARCH模型的扰动参数估计，计算和测试了VaR和ES的值。通过与正态分布下的值进行比较，可以得出结论，EGARCH-POT模型可以提高商业银行流动性风险计量的准确性。

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