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N. Zhang, H. X. Fei and T. Liu, “Statistics and Decision-making of China’s Interbank Lending Market Interest Rate Fluctuations,” Statistics and Decision, Vol. 1, No. 4, 2006, pp. 121-123.

has been cited by the following article:

• TITLE: A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks

  AUTHORS: Baoqian Wang, Cheng Wang, Xikun Zhang

  KEYWORDS: GARCH Model; Interest Rate; VaR

  JOURNAL NAME: Modern Economy, Vol.3 No.6, October 31, 2012

  ABSTRACT: 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.