本文關(guān)鍵詞：我國(guó)商業(yè)銀行同業(yè)拆借利率風(fēng)險(xiǎn)的VaR度量研究　出處：《貴州財(cái)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(xiǎn) VaR模型 ARMA-GARCH族模型

【摘要】：隨著我國(guó)金融深化改革的力度不斷加大，利率市場(chǎng)化進(jìn)程的不斷加快，以及資本對(duì)外開(kāi)放程度不斷加深，我國(guó)商業(yè)銀行受到國(guó)內(nèi)外經(jīng)濟(jì)形勢(shì)的影響，面臨的金融市場(chǎng)風(fēng)險(xiǎn)將會(huì)越來(lái)越明顯。商業(yè)銀行所需要面對(duì)的市場(chǎng)風(fēng)險(xiǎn)類型當(dāng)中，首當(dāng)其沖的便是利率風(fēng)險(xiǎn)。我國(guó)傳統(tǒng)商業(yè)銀行的經(jīng)營(yíng)利潤(rùn)還是主要來(lái)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(duì)于我國(guó)商業(yè)銀行來(lái)說(shuō)，利息收入仍是其全部收入來(lái)源的重要組成部分。近些年來(lái)利率波動(dòng)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(xiǎn)已經(jīng)越來(lái)越受到金融風(fēng)險(xiǎn)管理者和金融監(jiān)管當(dāng)局者們的重視。當(dāng)前VaR風(fēng)險(xiǎn)價(jià)值模型是國(guó)際金融風(fēng)險(xiǎn)管理方面運(yùn)用的最為廣泛的利率風(fēng)險(xiǎn)管理模型。針對(duì)這一模型，國(guó)內(nèi)外學(xué)者也展開(kāi)了廣泛地討論和研究。 本文首先介紹了利率風(fēng)險(xiǎn)的概念和分類形式，闡述了國(guó)內(nèi)外關(guān)于商業(yè)銀行風(fēng)險(xiǎn)管理的研究現(xiàn)狀以及國(guó)內(nèi)商業(yè)銀行風(fēng)險(xiǎn)管理中存在的問(wèn)題。接著比較分析了商業(yè)銀行度量利率風(fēng)險(xiǎn)的幾種方法，通過(guò)比較我們發(fā)現(xiàn)，在度量利率風(fēng)險(xiǎn)的準(zhǔn)確性和應(yīng)用的廣泛性上，VaR模型更適合用來(lái)量化我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)。本文以我國(guó)銀行間同業(yè)隔夜拆借利率作為研究對(duì)象，利用ARMA-GARCH族模型，結(jié)合不同的殘差分布假設(shè)，來(lái)捕捉同業(yè)隔夜拆借利率的波動(dòng)性，以此計(jì)算商業(yè)銀行利率風(fēng)險(xiǎn)的大小。最后運(yùn)用Kupiec失敗頻率檢驗(yàn)法對(duì)模型進(jìn)行準(zhǔn)確性檢驗(yàn)，得出的最終結(jié)論如下：非對(duì)稱廣義條件異方差模型族模擬隔夜拆借利率市場(chǎng)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(guó)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(duì)我國(guó)商業(yè)銀行加強(qiáng)利率風(fēng)險(xiǎn)管理提出兩點(diǎn)建議：一是，加強(qiáng)VaR在商業(yè)銀行風(fēng)險(xiǎn)管理中的應(yīng)用；二是，構(gòu)建綜合性的利率風(fēng)險(xiǎn)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(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33;F224

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