上海银行间同业拆放利率的风险测度

发布时间：2018-02-26 04:00

本文关键词： 风险值模型期望损失模型上海银行间同业拆放利率利率风险　出处：《管理科学》2011年01期 　论文类型：期刊论文

【摘要】：随着中国利率市场化进程的深化,利率风险将越来越大,同时上海银行间同业拆放利率将逐步成为中国的基准利率体系。在构建上海银行间同业拆放利率期限结构动态模型的基础上,首先利用风险值模型度量上海银行间同业拆放利率的风险值,然后进行后验检验,再利用期望损失模型度量上海银行间同业拆放利率的风险值,并对上海银行间同业拆放利率风险度量的风险值方法和期望损失方法进行比较分析。研究结果表明,无论从动态拟合效果,还是从风险度量的后验检验看,GED分布都优于正态分布和t分布,适合用于刻画上海银行间同业拆放利率序列的分布;上海银行间同业拆放利率序列具有均值回复特征和反杠杆效应;当风险值模型不能有效测度上海银行间同业拆放利率风险时,期望损失模型能部分克服风险值模型的不足,能有效测度实际损失风险。总的说来,APARCH-GED-VaR-ES模型可以较为准确地测度上海银行间同业拆放利率风险。
[Abstract]:With the deepening of China's interest rate marketization process, the interest rate risk will become greater and greater. At the same time, Shanghai Interbank offered rate will gradually become the benchmark interest rate system in China. First, the risk value of Shanghai Interbank offered rate is measured by risk value model, then a posteriori test is carried out, and then the expected loss model is used to measure the risk value of Shanghai Interbank offered rate. The risk value method and expected loss method of Shanghai Interbank offered rate risk measurement are compared and analyzed. The results show that, regardless of the dynamic fitting effect, From the posterior test of risk measurement, GED distribution is better than normal distribution and t distribution, which is suitable to describe the distribution of Shanghai interbank offered rate series. The series of Shanghai interbank offered rate has the characteristics of mean recovery and anti-leverage effect. When the risk value model can not effectively measure the risk of Shanghai interbank offered rate, the expected loss model can partly overcome the deficiency of the risk value model. The APARCH-GED-VaR-ES model can measure the risk of Shanghai Interbank offered rate accurately.
【作者单位】：南京大学经济学院;安徽财经大学金融学院;
【基金】：国家自然科学基金(70671025) 教育部人文社会科学青年基金(07JC790028)~~
【分类号】：F224;F832.5

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