本文關(guān)鍵詞：VaR測度我國同業(yè)拆借市場利率風(fēng)險(xiǎn)的實(shí)證研究　出處：《蘭州商學(xué)院》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 上海同業(yè)拆借市場 VaR GARCH族模型 分位數(shù)回歸

【摘要】：隨著我國利率市場化改革的進(jìn)程正在不斷推進(jìn)，市場利率的波動(dòng)日益頻繁，利率風(fēng)險(xiǎn)正上升為我國商業(yè)銀行經(jīng)營管理中面臨的主要風(fēng)險(xiǎn)，利率風(fēng)險(xiǎn)的防范與管理也將成為我國商業(yè)銀行的一項(xiàng)重要工作。過去很長的一段時(shí)間我國的利率一直處于國家的嚴(yán)格管制之下，但隨著這全球經(jīng)濟(jì)一體化進(jìn)程的加快，為了緊跟時(shí)代的步伐，迅速發(fā)展我國的金融市場體系，必須對金融市場進(jìn)行改革，首當(dāng)其沖的便是利率市場化。近些年來利率市場化的呼聲高漲，國家在這方面也做出了許多努力，可以說利率市場化是我國經(jīng)濟(jì)發(fā)展的必然趨勢，在國家進(jìn)行利率市場化改革的進(jìn)程中，商業(yè)銀行面臨的利率風(fēng)險(xiǎn)也顯得日益突出，因此我國商業(yè)銀行和有關(guān)監(jiān)管當(dāng)局應(yīng)當(dāng)對利率風(fēng)險(xiǎn)引起足夠的重視。另外，，學(xué)術(shù)界有關(guān)商業(yè)銀行利率風(fēng)險(xiǎn)的研究也發(fā)展迅速，就國內(nèi)外的研究來看，為了面對日趨復(fù)雜的金融市場環(huán)境，必須采用一些科學(xué)嚴(yán)謹(jǐn)?shù)挠?jì)量工具對風(fēng)險(xiǎn)進(jìn)行測度，VaR方法就是這其中的代表。VaR一經(jīng)提出便受到了研究者們的廣泛推崇，目前已經(jīng)是國際上普遍使用的風(fēng)險(xiǎn)度量工具。本文將對我國商業(yè)銀行的利率風(fēng)險(xiǎn)進(jìn)行分析，結(jié)合我國目前市場化程度最高的上海同業(yè)拆借市場，運(yùn)用VaR方法對我國商業(yè)銀行利率風(fēng)險(xiǎn)進(jìn)行測度。在VaR值的計(jì)算上，本文使用了GARCH模型和分位數(shù)回歸方法進(jìn)行對比分析。相比應(yīng)用普遍GARCH族模型，分位數(shù)回歸有著自身特有的優(yōu)勢，有些學(xué)者甚至認(rèn)為分位數(shù)回歸方法是未來的趨勢。本文通過對SHIBOR數(shù)據(jù)的實(shí)證研究表明分位數(shù)回歸模型有更好的擬合效果，更適合我國的商業(yè)銀行同業(yè)拆借市場的風(fēng)險(xiǎn)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.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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