The Interest-rate Risk Measurement of Chinese Commercial Banks Based on ES

摘要

The interest rate risk of Chinese commercial banks has become increasingly prominent, and effective risk management measure can provide a reference to the risk managers, so as to control the risk. This article based on commercial banks interest-rate risk model, and chose the ES method to measure, using the Chinese interbank-lending rate to do the empirical analysis, and compared with the result of VaR model calculated by Bootstrap, thereby to provide useful guidance for the interest-risk management.