In this paper we make use of the data obtained from the China-inter-bank market and estimate the parameters of the stochastic model and the general regime-switching model.
利用中国银行同业间拆借(CHIB)市场数据,估计并比较了目前国际上普遍采用的SV模型和GRS,研究发现,在样本期间内GRS比SV模型能更好的描述利率的均值和波动行为,在样本期间外SV比GRS模型能更好的预测未来利率的走势,而GRS比SV模型能更好的预测未来利率的波动。
Exchange Rate Risk Management in China’s Inter-bank Market
我国银行同业拆借市场的汇率风险管理
A Study on Bid-Ask Spread in Shanghai Interbank Borrowing Market;
上海银行间同业拆借市场买卖价差研究
An Analysis on Regime-Switching of Interest Rate in the Inter-Bank Market of China;
中国银行间同业拆借市场利率结构转换研究
Selection of the Benchmark of Chinese Inter-Bank Offered Rate
我国银行间同业拆借市场基准利率的选择
Estimation on Interest Rate Risk of Interbank Offering Market in China
我国银行间同业拆借市场利率风险度量
In 1994, a unified interbank lending market was established nationwide, and in 1997 the interbank securities market was set up.
1994年建立全国统一的银行间同业拆借市场,1997年成立银行间债券市
ARMA-GARCH Models and the Application of VaR Method to Chinese Inter-bank Borrowing Interest Rate
ARMA-GARCH模型及VaR方法在我国银行间同业拆借市场中的应用研究
Measurement Approaches of Market Risk of Commercial Banks Based on transaction positions:Set the Interbank Offering Market as an Example;
基于交易头寸的银行市场风险测度方法——以银行间同业拆借市场为例
On the Application of VaR Model in China s Inter-Bank Market;
VaR模型在我国银行同业拆借市场中的应用研究
An Empirical Examination of Contagion Risk in the Interbank Market of China;
我国银行同业拆借市场“传染”风险的实证研究
Empirical analysis on term structure of China interbank offered rates;
银行同业拆借市场利率期限结构实证研究
Exchange Rate Risk Management in China’s Inter-bank Market
我国银行同业拆借市场的汇率风险管理
sterling inter-bank market
银行同业英镑拆放市场
Meanwhile, government loan and inter-bank lending markets have also made fairly rapid progress.
同时,国债市尝银行业同业拆借市场也得到较快发展;
London interbank offered rate, LIBOR
伦敦银行同业拆借利率
An Empirical Study on Volatility of Shanghai Interbank Offered Rate Market
上海银行间同业拆放利率市场波动性实证研究
An Empirical Study on The Interest - Rate Risk of Commercial Bank in China;
我国商业银行利率风险的度量研究——以同业拆借市场为例
Moreover, the central bank will allow more securities companies to lend and borrow money on the inter-lending market. Five to six securities companies have received such permission recently.
此外,中央银行还将允许更多的证券公司到同业拆借市场上拆借资金,最近又批准了五六家。
China inter-bank offered rate (CHIBOR)
中国同业拆借市场利率
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