Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)

The application of VaR model in interest rate risk management of commercial Banks in China

Authors
Jianhua Zhu, Tiandi Liu
Corresponding Author
Jianhua Zhu
Available Online November 2017.
DOI
10.2991/wrarm-17.2017.52How to use a DOI?
Keywords
Commercial Banks; Interest rate risk management; The VaR model
Abstract

With the reform of interest rate liberalization in China, the main risks of commercial Banks in China are gradually turned into interest rate risks. However, at present, China's commercial Banks are not aware of the risk of interest rate, avoid problems such as the lack of interest rate risk tools, and there are many risks such as repricing risk and base difference risk. Controlling interest rate risk becomes the main content of risk management of commercial Banks. This article selects 2010-2016 Shanghai overnight interest rates in the interbank market to simulate variable market interest rate, our country commercial bank interest rate risk value for empirical research, and to our country commercial bank interest rate risk management puts forward the corresponding Suggestions.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
Series
Advances in Intelligent Systems Research
Publication Date
November 2017
ISBN
978-94-6252-429-3
ISSN
1951-6851
DOI
10.2991/wrarm-17.2017.52How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Jianhua Zhu
AU  - Tiandi Liu
PY  - 2017/11
DA  - 2017/11
TI  - The application of VaR model in interest rate risk management of commercial Banks in China
BT  - Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
PB  - Atlantis Press
SP  - 297
EP  - 302
SN  - 1951-6851
UR  - https://doi.org/10.2991/wrarm-17.2017.52
DO  - 10.2991/wrarm-17.2017.52
ID  - Zhu2017/11
ER  -