Author(s)

Baoqian Wang, Cheng Wang, Xikun Zhang

Business School, Hohai University, Nanjing, China.

According to the historical time series data of commercial interbank, this paper examines the interest rate fluctuation distribution characteristics, indicating that EGARCH Model can better fit the rate volatility of the interbank market interest. This paper calculates the value at risk (VaR) of five major commercial banks using EGARCH Model with such a conclusion that the difference that major commercial banks face is various. The interest risk of state-owned commercial banks and other financial institutions is more serious than the city commercial banks and foreign banks. The interest risk of rural credit cooperatives is the least serious.

GARCH Model; Interest Rate; VaR

B. Wang, C. Wang and X. Zhang, "A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks," Modern Economy, Vol. 3 No. 6, 2012, pp. 759-765. doi: 10.4236/me.2012.36097.