STUDY ON INTEREST RATE RISK MEASUREMENT OF COMMERCIAL BANKS IN CHINA BASED ON CARE MODELS

10.6704/JMSSD.2016.13.1.25

Hua Shen；Yaohui Chen

Interest Rate Risk ； Expectile ； Expectile-based VaR(EVaR) ； AS-CARE Model

管理科學與統計決策

13卷1期（2016 / 03 / 01）

25 - 34

英文

This paper is based on the theory of expectiles model and the definition of CARE model specifications, and it constructs IG-CARE and AS-CARE models in order to make an expectile-based VaR measure model that could estimate the interest rate risk of commercial bank. The results show that under the significant level of 5%, in which the fitting effect of IG-CARE model is not significant, the AS-CARE model has a better fitting effect, more stable estimated parameters, and remarkable leverage effect. Therefore, the AS-CARE model could be used as an effective measurement tool of the interest rate risk of commercial bank in China, and provide a theoretical basis and reference model for interest rate risk management.

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