基于VaR模型的我国商业银行利率风险度量及实证研究

发布时间：2018-05-21 09:25

本文选题：VaR方法 + 商业银行利率风险　；参考：《吉林大学》2013年硕士论文

【摘要】：自我国加入世贸组织之后，，世界经济一体化进程的加剧为我国社会主义市场经济的健康稳步发展带来了不少的机遇与挑战。其中，利率市场化的实质性变革就对包括商业银行在内的金融机构造成了影响，利率市场化的条件下，资金运用的效率得到大大提高，然而如何抵御利率风险的难题也随之而来。在我国，银行间同业拆借市场利率自1996年放开以来，经过十几年的发展，已经成为市场化程度较高、结构科学完整的一套利率体系，在商业银行的准备金支付、票据结算及周转资金运用等方面起到了不可忽视的作用，表明我国的利率市场化已经取得了一定成果。而随着《金融业发展和改革“十二五”规划》的逐步落实以及利率市场化的进一步深入，无疑会在短期内对商业银行的利差收入造成一定影响，但长期来看，更要求商业银行在掌握定价权的基础上加强金融创新及对风险的管控，因此需要选择一种科学有效、可操作性强的利率风险管理方法。本文在理论上比较了三种利率风险管理方法之后，选择VaR（Value-at-Risk）——在险价值模型，对上海同业拆借市场的隔夜利率数据进行实证研究，对同业拆借利率的VaR值做出预测，以期在我国商业银行的利率风险管理方面做出些实质性的贡献。本文共分为五个部分，具体结构如下：第一章为绪论，阐述了选题背景及意义，对国内外相关文献做了综述，主要阐释了本文的研究方法及主要的创新点与不足之处。第二章解释了商业银行利率风险的主要成因，对利率风险进行了分类，介绍并评价了利率风险管理方法中的重新定价法。第三章主要对VaR方法的基本思想、主要原理及计算方法进行介绍，并强调了该方法在利率风险管理中的优势。第四章为实证分析，运用Eviews软件结合GARCH族模型对数据进行分析模拟，选出最优拟合模型对VaR值进行估计，并对结果进行后测检验，同时对完善利率风险的管理提出一些建议。第五部分为结论，对本文的研究结果做出了总结。
[Abstract]:Since China's entry into WTO, the intensification of the process of world economic integration has brought many opportunities and challenges to the healthy and steady development of China's socialist market economy. Among them, the substantial reform of interest rate marketization has had an impact on financial institutions, including commercial banks. Under the condition of marketization of interest rates, the efficiency of the use of funds has been greatly improved. However, the problem of how to resist interest rate risk also followed. In our country, the interbank lending market interest rate has become a set of interest rate system with a high degree of marketization and a scientific and complete structure since it was liberalized in 1996, and has become a set of interest rate system to be paid in the reserve of commercial banks after more than ten years of development. The clearing of bills and the use of working capital have played an important role, which indicates that the marketization of interest rate in China has made some achievements. With the gradual implementation of the 12th Five-Year Plan for the Development and Reform of the Financial sector and the further deepening of the marketization of interest rates, there is no doubt that the spread income of commercial banks will be affected in the short term, but in the long run, Commercial banks are required to strengthen financial innovation and risk management on the basis of price fixing power, so it is necessary to choose a scientific and effective method of interest rate risk management. After comparing the three methods of interest rate risk management theoretically, this paper chooses VaRN Value-at-Riska-Value-at-Riskho-Value-at-Risker-Value-at-R@@ With a view to making some substantial contributions to the interest rate risk management of commercial banks in China. This paper is divided into five parts, the specific structure is as follows: The first chapter is the introduction, which expounds the background and significance of the topic, summarizes the relevant literature at home and abroad, and mainly explains the research methods, main innovation points and shortcomings of this paper. The second chapter explains the main causes of interest rate risk in commercial banks, classifies the interest rate risk, and introduces and evaluates the repricing method in the interest rate risk management method. The third chapter mainly introduces the basic idea, main principle and calculation method of VaR method, and emphasizes the advantage of this method in interest rate risk management. The fourth chapter is empirical analysis, using Eviews software combined with GARCH family model to analyze and simulate the data, select the optimal fitting model to estimate the VaR value, and test the results by post-test. At the same time, some suggestions are put forward to improve the management of interest rate risk. The fifth part is the conclusion, and makes the summary to the research result of this paper.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F224

【参考文献】