本文選題：利率風(fēng)險(xiǎn) + VaR模型��； 參考：《西南政法大學(xué)》2012年碩士論文

【摘要】：由于我國利率市場化實(shí)行得比較晚，商業(yè)銀行的風(fēng)險(xiǎn)管理還是集中在對信用風(fēng)險(xiǎn)管理上，對利率風(fēng)險(xiǎn)管理重視不夠，，利率風(fēng)險(xiǎn)的管理方法也比較落后，普遍采用的是“缺口管理”、“敏感性分析”等較初級的管理工具，沒有對利率風(fēng)險(xiǎn)系統(tǒng)的管理體系和有效的度量方法。因此，如何防范和化解利率風(fēng)險(xiǎn)，有效地進(jìn)行利率風(fēng)險(xiǎn)管理，以及如何度量利率風(fēng)險(xiǎn)，成為商業(yè)銀行急待解決的問題。 本文以銀行間市場債券質(zhì)押式回購利率為例，引入風(fēng)險(xiǎn)價(jià)值VaR模型，借助VaR模型對銀行間市場債券質(zhì)押式回購利率風(fēng)險(xiǎn)進(jìn)行測度，從而對利率風(fēng)險(xiǎn)進(jìn)行有效評估。風(fēng)險(xiǎn)價(jià)值VaR模型作為一種新型的風(fēng)險(xiǎn)管理工具，在國際上被廣泛應(yīng)用于測量市場風(fēng)險(xiǎn)、業(yè)績評估和監(jiān)管信息披露等方面。商業(yè)銀行可以通過計(jì)算VaR值來衡量利率變動帶來的風(fēng)險(xiǎn)大小。本文在進(jìn)行實(shí)證分析的基礎(chǔ)上對實(shí)證結(jié)果進(jìn)行了回測檢驗(yàn)，試圖探求風(fēng)險(xiǎn)價(jià)值VaR方法在我國商業(yè)銀行利率風(fēng)險(xiǎn)度量中應(yīng)用的可行性。 全文共分為五章： 第一章介紹了本文的研究背景、研究目的及意義。 第二章是文獻(xiàn)綜述部分，分別就國內(nèi)外對利率風(fēng)險(xiǎn)的識別、衡量與管控理念、方法或技術(shù)等研究理論與研究狀況進(jìn)行較為系統(tǒng)的描述。 第三章是對商業(yè)銀行利率風(fēng)險(xiǎn)度量的幾種主要方法的分析比較。通過對幾種主要方法的適應(yīng)條件、適用范圍以及各自的優(yōu)點(diǎn)，各自的不足或局限性等的對比分析，以凸顯VaR模型在量化利率風(fēng)險(xiǎn)方面的相對比較優(yōu)勢。 第四章為實(shí)證部分，是本文的核心的部分，該部分以銀行間質(zhì)押借款利率為樣本變量，應(yīng)用VaR模型加以實(shí)證分析。 實(shí)證分析結(jié)果得出如下結(jié)論： (1)從實(shí)證過程來看，基于證0參數(shù)分布的八1?(1)4八1?^(1，2)模型適用于我國銀行間市場債券質(zhì)押式回購利率的VaR計(jì)算。而在商業(yè)銀行對其他風(fēng)險(xiǎn)運(yùn)用VaR模型進(jìn)行度量的時(shí)候應(yīng)根據(jù)不同的樣本選擇不同的GARCH模型進(jìn)行計(jì)算。 (2)國外常用的基于N分布即正態(tài)分布的GARCH模型參數(shù)法對我國利率風(fēng)險(xiǎn)進(jìn)行VaR值計(jì)算時(shí)失效。因此，需要不斷地嘗試，找到符合我國實(shí)際情況的樣本分布進(jìn)行計(jì)算，不能一味地照抄國外方法。 (3)我國商業(yè)銀行必需加快對VaR模型的應(yīng)用研究，提高銀行利率風(fēng)險(xiǎn)的管理能力。 第五章，則是基于實(shí)證分析結(jié)果，就我國商業(yè)銀行應(yīng)用VaR模型進(jìn)行利率風(fēng)險(xiǎn)管理提出以下三個(gè)方面的對策建議： (1)建立科學(xué)的利率風(fēng)險(xiǎn)管理系統(tǒng)，包括形成集中的總行監(jiān)管制度和明確的管理分工職責(zé)。（2)加強(qiáng)專業(yè)人才的培養(yǎng)和引進(jìn)。（3)完善數(shù)據(jù)庫建設(shè)。
[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.
【學(xué)位授予單位】：西南政法大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F224

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