Estimation of Interest-rate Risk with Commercial Bank on the Basis of Jump-drift Process: A Case of Theoretic and Empirical Analysis

摘要

A model for interest-rate risk management of commercial bank is developed, which is combined in Jump process with Drift process. An empirical measurement is given by two types of data of trade prices from period of July 1, 2002 to June 30, 2005 on bond market and inter-bank market in mainland China, and it is provided for some dynamic features, specifically using single-factor diffusion model, GARCH model and jump-diffusion model. The following conclusions are get in this paper: interest-rate of short-term asset liability taking on jump and diffusion effect; introducing GARCH and jump factor greatly enhancing the goodness of fit of dynamic model of short term interest-rate; short term interest-rate having striking phenomena of mean reversion.