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In recent years, as a newly developed finance derivative, the movable estate pledge business is rapidly popular in china. It is a solution to samll and medium-sized enterprises' difficulty in getting funds from banks, but it also brings some special risks such as safekeeping risk, price risk as well as moral risk. A new credit risk management model is described in this paper. By using advanced computer...
This paper constructed GARCH Models to analyze the volatility of term-products of SHIBOR (Shanghai Inter-Bank Offered Rate), and found that short-term and long-term interest rate products have different characteristics of return volatility, non-normality and conditional heteroscedasticity, and GARCH models can fit the volatility of SHIBOR well.
E-banking has become an important innovation to bank industry. Although it has some peculiar advantages, it also has some inevitable risks. For domestic e-banks, the most important risk is operational risk. We analyze the situation of operational risk of domestic e-banks, and with the small loss data sample, use the two-stage method to combine statistic methods and peak-over-threshold method to simulate...
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