我国商业银行同业拆借利率风险的VaR度量研究

发布时间：2018-01-14 22:23

本文关键词：我国商业银行同业拆借利率风险的VaR度量研究　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 利率风险 VaR模型 ARMA-GARCH族模型

【摘要】：随着我国金融深化改革的力度不断加大，利率市场化进程的不断加快，以及资本对外开放程度不断加深，我国商业银行受到国内外经济形势的影响，面临的金融市场风险将会越来越明显。商业银行所需要面对的市场风险类型当中，首当其冲的便是利率风险。我国传统商业银行的经营利润还是主要来源于存贷利息差方面的收入，尽管目前商业银行收入中表外业务收入占比不断增大，但对于我国商业银行来说，利息收入仍是其全部收入来源的重要组成部分。近些年来利率波动变得频繁而剧烈，如何能够准确地度量分析商业银行遭受的潜在利率风险已经越来越受到金融风险管理者和金融监管当局者们的重视。当前VaR风险价值模型是国际金融风险管理方面运用的最为广泛的利率风险管理模型。针对这一模型，国内外学者也展开了广泛地讨论和研究。本文首先介绍了利率风险的概念和分类形式，阐述了国内外关于商业银行风险管理的研究现状以及国内商业银行风险管理中存在的问题。接着比较分析了商业银行度量利率风险的几种方法，通过比较我们发现，在度量利率风险的准确性和应用的广泛性上，VaR模型更适合用来量化我国商业银行利率风险。本文以我国银行间同业隔夜拆借利率作为研究对象，利用ARMA-GARCH族模型，结合不同的残差分布假设，来捕捉同业隔夜拆借利率的波动性，以此计算商业银行利率风险的大小。最后运用Kupiec失败频率检验法对模型进行准确性检验，得出的最终结论如下：非对称广义条件异方差模型族模拟隔夜拆借利率市场的效果要优于普通广义条件异方差模型；在ged分布假设下，，模型能够较好刻画出我国银行间同业隔夜拆借利率序列的分布情况。本文最后针对我国商业银行加强利率风险管理提出两点建议：一是，加强VaR在商业银行风险管理中的应用；二是，构建综合性的利率风险管理系统。
[Abstract]:With the deepening of financial reform in China, the interest rate marketization process is accelerating, and the degree of capital opening to the outside world is deepening, our commercial banks are affected by the economic situation at home and abroad. The financial market risk will be more and more obvious. Commercial banks need to face the type of market risk. Interest rate risk is the first to bear the brunt. The operating profit of traditional commercial banks in our country is mainly derived from the income from the difference between deposit and loan interest, although the proportion of off-balance-sheet business income of commercial banks is increasing at present. However, for commercial banks in China, interest income is still an important part of their total income sources. In recent years, interest rate fluctuations have become frequent and violent. How to accurately measure and analyze the potential interest rate risk suffered by commercial banks has been paid more and more attention by financial risk managers and financial regulators. The current VaR risk value model is international financial risk management. The most widely used interest rate risk management model in theory. Scholars at home and abroad have also carried out extensive discussions and studies. This paper first introduces the concept and classification of interest rate risk. This paper expounds the current situation of the research on the risk management of commercial banks at home and abroad and the problems existing in the risk management of domestic commercial banks, and then compares and analyzes several methods of measuring the interest rate risks of commercial banks. Through comparison, we find that the accuracy of measuring interest rate risk and the wide application of interest rate risk. The VaR model is more suitable for quantifying the interest rate risk of commercial banks in China. This paper takes the interbank overnight offered rate as the research object and uses the ARMA-GARCH family model. Combined with different residual distribution assumptions to capture the interbank overnight interest rate volatility. Finally, the Kupiec failure frequency test method is used to verify the accuracy of the model. The final conclusions are as follows: asymmetric generalized conditional heteroscedasticity model is better than general generalized conditional heteroscedasticity model in simulating overnight interest rate market; Under the assumption of ged distribution, the model can well describe the distribution of interbank interest rate series in China. Finally, this paper puts forward two suggestions for strengthening interest rate risk management of Chinese commercial banks: first. Strengthen the application of VaR in commercial bank risk management; Second, build a comprehensive interest rate risk management system.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F224

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