A research on interbank loan interest rate fluctuation characteristics and the VaR risk of China's commercial banks
Year of publication: |
2012
|
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Authors: | Wang, Baoqian ; Wang, Cheng ; Zhang, Xikun |
Published in: |
Modern economy. - Irvine, Calif. : Scientific Research Publishing, ISSN 2152-7245, ZDB-ID 2598760-4. - Vol. 3.2012, 6, p. 759-765
|
Subject: | GARCH Model | Interest Rate | VaR | Zins | Interest rate | China | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Bank | Zinsstruktur | Yield curve | VAR-Modell | VAR model | Volatilität | Volatility |
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