基于VaR模型的我国商业银行利率风险度量研究

发布时间：2018-05-31 20:04

本文选题：利率风险 + VaR模型　；参考：《西南政法大学》2012年硕士论文

【摘要】：由于我国利率市场化实行得比较晚，商业银行的风险管理还是集中在对信用风险管理上，对利率风险管理重视不够，，利率风险的管理方法也比较落后，普遍采用的是“缺口管理”、“敏感性分析”等较初级的管理工具，没有对利率风险系统的管理体系和有效的度量方法。因此，如何防范和化解利率风险，有效地进行利率风险管理，以及如何度量利率风险，成为商业银行急待解决的问题。本文以银行间市场债券质押式回购利率为例，引入风险价值VaR模型，借助VaR模型对银行间市场债券质押式回购利率风险进行测度，从而对利率风险进行有效评估。风险价值VaR模型作为一种新型的风险管理工具，在国际上被广泛应用于测量市场风险、业绩评估和监管信息披露等方面。商业银行可以通过计算VaR值来衡量利率变动带来的风险大小。本文在进行实证分析的基础上对实证结果进行了回测检验，试图探求风险价值VaR方法在我国商业银行利率风险度量中应用的可行性。全文共分为五章：第一章介绍了本文的研究背景、研究目的及意义。第二章是文献综述部分，分别就国内外对利率风险的识别、衡量与管控理念、方法或技术等研究理论与研究状况进行较为系统的描述。第三章是对商业银行利率风险度量的几种主要方法的分析比较。通过对几种主要方法的适应条件、适用范围以及各自的优点，各自的不足或局限性等的对比分析，以凸显VaR模型在量化利率风险方面的相对比较优势。第四章为实证部分，是本文的核心的部分，该部分以银行间质押借款利率为样本变量，应用VaR模型加以实证分析。实证分析结果得出如下结论： (1)从实证过程来看，基于证0参数分布的八1?(1)4八1?^(1，2)模型适用于我国银行间市场债券质押式回购利率的VaR计算。而在商业银行对其他风险运用VaR模型进行度量的时候应根据不同的样本选择不同的GARCH模型进行计算。 (2)国外常用的基于N分布即正态分布的GARCH模型参数法对我国利率风险进行VaR值计算时失效。因此，需要不断地尝试，找到符合我国实际情况的样本分布进行计算，不能一味地照抄国外方法。 (3)我国商业银行必需加快对VaR模型的应用研究，提高银行利率风险的管理能力。第五章，则是基于实证分析结果，就我国商业银行应用VaR模型进行利率风险管理提出以下三个方面的对策建议： (1)建立科学的利率风险管理系统，包括形成集中的总行监管制度和明确的管理分工职责。（2)加强专业人才的培养和引进。（3)完善数据库建设。
[Abstract]:Because of the late implementation of interest rate marketization in our country, the risk management of commercial banks is still focused on credit risk management, not enough attention is paid to interest rate risk management, and the management methods of interest rate risk are also relatively backward. Generally, "gap management", "sensitivity analysis" and other primary management tools are widely used. There is no effective measure method and management system for interest rate risk system. Therefore, how to prevent and resolve the interest rate risk, how to effectively manage the interest rate risk, and how to measure the interest rate risk have become the urgent problems to be solved by commercial banks. This paper takes the interbank bond pledge repurchase rate as an example, introduces the VaR model of risk value, measures the interest rate risk of bond pledge repurchase rate with the help of VaR model, and evaluates the interest rate risk effectively. As a new risk management tool, risk value VaR model is widely used in measuring market risk, performance evaluation and regulatory information disclosure. Commercial banks can measure the risk of interest rate changes by calculating VaR. Based on the empirical analysis, this paper makes a retrospective test on the empirical results, and attempts to explore the feasibility of applying the VaR method to the interest rate risk measurement of commercial banks in China. The full text is divided into five chapters: The first chapter introduces the research background, purpose and significance of this paper. The second chapter is the literature review part, respectively on the domestic and foreign interest rate risk identification, measurement and control concepts, methods or technologies and other research theory and research situation are described systematically. The third chapter is the commercial bank interest rate risk measurement of several main methods of analysis and comparison. Through the comparative analysis of several main methods' adaptive conditions, applicable scope and their advantages, their respective shortcomings or limitations, the comparative advantage of VaR model in quantifying interest rate risk is highlighted. The fourth chapter is the empirical part, which is the core part of this paper. This part takes the interest rate of interbank pledge loan as the sample variable, and applies VaR model to empirical analysis. The results of empirical analysis are as follows: 1) from the perspective of empirical process, the model based on the parameter distribution of proof 0 is applicable to the VaR calculation of bond pledge repurchase rate in China's interbank market. When commercial banks use VaR model to measure other risks, different GARCH models should be selected according to different samples. 2) the commonly used GARCH model parameter method based on N distribution, i.e. normal distribution, fails to calculate the VaR value of interest rate risk in China. Therefore, it is necessary to keep trying to find out the sample distribution in accordance with the actual situation in our country and to calculate the sample distribution, instead of blindly copying the foreign methods. 3) China's commercial banks must speed up the research on the application of VaR model to improve the management ability of interest rate risk. The fifth chapter is based on the results of empirical analysis, on the application of VaR model in China's commercial banks for interest rate risk management proposed the following three aspects of countermeasures: 1) establishing a scientific interest rate risk management system, including a centralized supervisory system of the head office and a clear division of management responsibilities. 2) strengthening the training of professional personnel and introducing. 3) perfecting the database construction.
【学位授予单位】：西南政法大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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