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