本文關(guān)鍵詞：我國商業(yè)銀行同業(yè)拆借利率風(fēng)險的VaR度量研究　出處：《貴州財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率風(fēng)險 VaR模型 ARMA-GARCH族模型

【摘要】：隨著我國金融深化改革的力度不斷加大，利率市場化進(jìn)程的不斷加快，以及資本對外開放程度不斷加深，我國商業(yè)銀行受到國內(nèi)外經(jīng)濟形勢的影響，面臨的金融市場風(fēng)險將會越來越明顯。商業(yè)銀行所需要面對的市場風(fēng)險類型當(dāng)中，首當(dāng)其沖的便是利率風(fēng)險。我國傳統(tǒng)商業(yè)銀行的經(jīng)營利潤還是主要來源于存貸利息差方面的收入，盡管目前商業(yè)銀行收入中表外業(yè)務(wù)收入占比不斷增大，但對于我國商業(yè)銀行來說，利息收入仍是其全部收入來源的重要組成部分。近些年來利率波動變得頻繁而劇烈，如何能夠準(zhǔn)確地度量分析商業(yè)銀行遭受的潛在利率風(fēng)險已經(jīng)越來越受到金融風(fēng)險管理者和金融監(jiān)管當(dāng)局者們的重視。當(dāng)前VaR風(fēng)險價值模型是國際金融風(fēng)險管理方面運用的最為廣泛的利率風(fēng)險管理模型。針對這一模型，國內(nèi)外學(xué)者也展開了廣泛地討論和研究。 本文首先介紹了利率風(fēng)險的概念和分類形式，闡述了國內(nèi)外關(guān)于商業(yè)銀行風(fēng)險管理的研究現(xiàn)狀以及國內(nèi)商業(yè)銀行風(fēng)險管理中存在的問題。接著比較分析了商業(yè)銀行度量利率風(fēng)險的幾種方法，通過比較我們發(fā)現(xiàn)，在度量利率風(fēng)險的準(zhǔn)確性和應(yīng)用的廣泛性上，VaR模型更適合用來量化我國商業(yè)銀行利率風(fēng)險。本文以我國銀行間同業(yè)隔夜拆借利率作為研究對象，利用ARMA-GARCH族模型，結(jié)合不同的殘差分布假設(shè)，來捕捉同業(yè)隔夜拆借利率的波動性，以此計算商業(yè)銀行利率風(fēng)險的大小。最后運用Kupiec失敗頻率檢驗法對模型進(jìn)行準(zhǔn)確性檢驗，得出的最終結(jié)論如下：非對稱廣義條件異方差模型族模擬隔夜拆借利率市場的效果要優(yōu)于普通廣義條件異方差模型；在ged分布假設(shè)下，，模型能夠較好刻畫出我國銀行間同業(yè)隔夜拆借利率序列的分布情況。本文最后針對我國商業(yè)銀行加強利率風(fēng)險管理提出兩點建議：一是，加強VaR在商業(yè)銀行風(fēng)險管理中的應(yīng)用；二是，構(gòu)建綜合性的利率風(fēng)險管理系統(tǒng)。
[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.
【學(xué)位授予單位】：貴州財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33;F224

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