基于交易头寸的银行市场风险测度方法——以银行间同业拆借市场为例  

Measurement Approaches of Market Risk of Commercial Banks Based on transaction positions:Set the Interbank Offering Market as an Example

作　　者：许友传[1] 何佳[2] 杨继光[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030 [2]香港中文大学工商管理学院

出　　处：《金融研究》2007年第07A期36-46,共11页Journal of Financial Research

摘　　要：基于对称分布假设的市场风险测度方法往往都不对交易头寸的性质进行区分,忽视了不同性质交易头寸市场风险的显著差异和对市场因子不对称尾部特征的专门拟合。本文以银行间同业拆借市场为例,给出了不同性质交易头寸的市场风险测度方法,用基于广义误差分布假设的ARMA-GARCH模型分别拟合了同业拆借市场利率不对称的尾部特征,测度了我国各类商业银行该项业务的市场风险和风险结构,为商业银行市场风险测度与管理提供了一般性的模型构造和评价方法。Traditional measurement approaches of market risk based on the hypothesis of symmetrical distribution, such as standardized approach, seriously overlook the significant distinctions of transaction positions with different attributions and the specialized fitting for the tailor characteristics of risk factors. Setting the interbank offering market as an example, the paper puts forward two kinds of different measurement approaches for different transaction positions with different attributions. Based on the hypothesis of GED, we use the ARMAGARCH model to fit the asymmetrical tail characteristic of risk factors and measure the market risks and risk structure of stated-owned banks, foreign-owned banks and other banks. It provides a kind of generic approach to construct and evaluate market risk of commercial banks.

关 键 词：市场风险 标准法 同业拆借市场 经济资本 

分 类 号：F830.9[经济管理—金融学] F224