Business

Interest rate risk of Chinese commercial banks based on the GARCH-EVT model

X. Chen, Z. Shan, et al.

This paper dives into the significance of Value-at-Risk (VaR) for Shanghai banks' overnight offered rates post-interest rate marketization in China. The researchers employed a unique two-stage method combining GARCH models and extreme value theory, revealing that the EGARCH-GED model significantly enhances risk management strategies for commercial banks. The study, conducted by Xin Chen, Zhangming Shan, Decai Tang, Biao Zhou, and Valentina Boamah, offers essential insights and policy implications for better banking practices.