本文選題：VaR方法 + 商業(yè)銀行利率風(fēng)險��； 參考：《吉林大學(xué)》2013年碩士論文

【摘要】：自我國加入世貿(mào)組織之后，，世界經(jīng)濟(jì)一體化進(jìn)程的加劇為我國社會主義市場經(jīng)濟(jì)的健康穩(wěn)步發(fā)展帶來了不少的機(jī)遇與挑戰(zhàn)。其中，利率市場化的實(shí)質(zhì)性變革就對包括商業(yè)銀行在內(nèi)的金融機(jī)構(gòu)造成了影響，利率市場化的條件下，資金運(yùn)用的效率得到大大提高，然而如何抵御利率風(fēng)險的難題也隨之而來。 在我國，銀行間同業(yè)拆借市場利率自1996年放開以來，經(jīng)過十幾年的發(fā)展，已經(jīng)成為市場化程度較高、結(jié)構(gòu)科學(xué)完整的一套利率體系，在商業(yè)銀行的準(zhǔn)備金支付、票據(jù)結(jié)算及周轉(zhuǎn)資金運(yùn)用等方面起到了不可忽視的作用，表明我國的利率市場化已經(jīng)取得了一定成果。而隨著《金融業(yè)發(fā)展和改革“十二五”規(guī)劃》的逐步落實(shí)以及利率市場化的進(jìn)一步深入，無疑會在短期內(nèi)對商業(yè)銀行的利差收入造成一定影響，但長期來看，更要求商業(yè)銀行在掌握定價權(quán)的基礎(chǔ)上加強(qiáng)金融創(chuàng)新及對風(fēng)險的管控，因此需要選擇一種科學(xué)有效、可操作性強(qiáng)的利率風(fēng)險管理方法。 本文在理論上比較了三種利率風(fēng)險管理方法之后，選擇VaR（Value-at-Risk）——在險價值模型，對上海同業(yè)拆借市場的隔夜利率數(shù)據(jù)進(jìn)行實(shí)證研究，對同業(yè)拆借利率的VaR值做出預(yù)測，以期在我國商業(yè)銀行的利率風(fēng)險管理方面做出些實(shí)質(zhì)性的貢獻(xiàn)。本文共分為五個部分，具體結(jié)構(gòu)如下： 第一章為緒論，闡述了選題背景及意義，對國內(nèi)外相關(guān)文獻(xiàn)做了綜述，主要闡釋了本文的研究方法及主要的創(chuàng)新點(diǎn)與不足之處。第二章解釋了商業(yè)銀行利率風(fēng)險的主要成因，對利率風(fēng)險進(jìn)行了分類，介紹并評價了利率風(fēng)險管理方法中的重新定價法。第三章主要對VaR方法的基本思想、主要原理及計算方法進(jìn)行介紹，并強(qiáng)調(diào)了該方法在利率風(fēng)險管理中的優(yōu)勢。第四章為實(shí)證分析，運(yùn)用Eviews軟件結(jié)合GARCH族模型對數(shù)據(jù)進(jìn)行分析模擬，選出最優(yōu)擬合模型對VaR值進(jìn)行估計，并對結(jié)果進(jìn)行后測檢驗(yàn)，同時對完善利率風(fēng)險的管理提出一些建議。第五部分為結(jié)論，對本文的研究結(jié)果做出了總結(jié)。
[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.
【學(xué)位授予單位】：吉林大學(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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