VaR测度我国同业拆借市场利率风险的实证研究

发布时间：2017-12-28 03:05

本文关键词：VaR测度我国同业拆借市场利率风险的实证研究　出处：《兰州商学院》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国利率市场化改革的进程正在不断推进，市场利率的波动日益频繁，利率风险正上升为我国商业银行经营管理中面临的主要风险，利率风险的防范与管理也将成为我国商业银行的一项重要工作。过去很长的一段时间我国的利率一直处于国家的严格管制之下，但随着这全球经济一体化进程的加快，为了紧跟时代的步伐，迅速发展我国的金融市场体系，必须对金融市场进行改革，首当其冲的便是利率市场化。近些年来利率市场化的呼声高涨，国家在这方面也做出了许多努力，可以说利率市场化是我国经济发展的必然趋势，在国家进行利率市场化改革的进程中，商业银行面临的利率风险也显得日益突出，因此我国商业银行和有关监管当局应当对利率风险引起足够的重视。另外，，学术界有关商业银行利率风险的研究也发展迅速，就国内外的研究来看，为了面对日趋复杂的金融市场环境，必须采用一些科学严谨的计量工具对风险进行测度，VaR方法就是这其中的代表。VaR一经提出便受到了研究者们的广泛推崇，目前已经是国际上普遍使用的风险度量工具。本文将对我国商业银行的利率风险进行分析，结合我国目前市场化程度最高的上海同业拆借市场，运用VaR方法对我国商业银行利率风险进行测度。在VaR值的计算上，本文使用了GARCH模型和分位数回归方法进行对比分析。相比应用普遍GARCH族模型，分位数回归有着自身特有的优势，有些学者甚至认为分位数回归方法是未来的趋势。本文通过对SHIBOR数据的实证研究表明分位数回归模型有更好的拟合效果，更适合我国的商业银行同业拆借市场的风险度量。
[Abstract]:As China's market-oriented interest rate reform process is constantly advancing, the market interest rate fluctuations have become increasingly frequent, the interest rate risk is rising as the main risk management of our commercial bank in the prevention and management of interest rate risk will become an important task for China's commercial banks. The interest rate for a long period of time in China has been in strict state control, but with the acceleration of global economic integration, in order to keep pace with the times, the rapid development of China's financial market system, must carry on the reform to the financial market, bore the brunt of the marketization of interest rate. In recent years, the interest rate market growing louder, countries in this area has made many efforts, can be said that the interest rate marketization is an inevitable trend of economic development in China, the interest rate marketization reform in the country in the process of the interest rate risk in commercial banks has become increasingly prominent, so China's commercial banks and the relevant supervision the authorities should pay enough attention to interest rate risk. In addition, the academic research on the interest rate risk of commercial banks is also developing quickly, it studies at home and abroad, in order to face the increasingly complex financial market environment, must adopt some scientific measurement tools to measure the risk, which is the representative of the VaR method. VaR has been widely admired by researchers as soon as it is put forward. It is now a widely used risk measurement tool in the world. This paper will analyze the interest rate risk of China's commercial banks. Combined with the most market-oriented interbank loan market in China, we will use VaR to measure the interest rate risk of China's commercial banks. In the calculation of the VaR value, this paper uses the GARCH model and the quantile regression method to make a comparison and analysis. Compared with the universal GARCH model, the quantile regression has its own unique advantages. Some scholars even think the quantile regression method is the trend of the future. Through empirical research on SHIBOR data, this paper shows that quantile regression model has better fitting effect and is more suitable for China's commercial bank interbank market risk measurement.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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