基于极值理论的同业拆借利率风险度量——基于AR-GARCH-POT方法的VaR值比较研究  

Estimate on Interest Rate Risk of Interbank Offering Market Via Extreme Value Theory

作　　者：高岳[1] 朱宪辰[1] 

机构地区：[1]南京理工大学经济管理学院应用经济研究所

出　　处：《数量经济技术经济研究》2009年第8期135-147,共13页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目(编号:70573046);教育部高等学校博士学科点专项科研基金资助课题项目(编号:20060288016);江苏省高校哲社基金重点项目(编号:06SJB790001)的资助

摘　　要：在采用极值理论描述收益尾部的基础上,将AR-GARCH模型和极值理论相结合。首先利用AR-GARCH模型描述我国商业银行同业拆借利率对数收益序列的自相关和方差聚类现象,获得近似独立同分布的残差序列,继而利用极值理论中的POT方法对残差序列进行极值分析,并给出了极值分布各参数的极大似然估计,进一步计算置信水平下的VaR和ES值,基于此分析了我国同业拆借利率市场的系统性风险历史波动趋势,并提出了相关结论与政策建议。This paper combines AR- GARCH Model with exterme value theory to describe the statistic character of return series of interbank offered rate in China. Firstly, an AR - GARCH Model was built to fit the correlationship and heteroskedasticity of return series. Then, POT method was used to analyze the innovations and estimate the interval of VAR and ES. The parameters in the POT model were solved by MLE. Finally, analysis of the historical VAR changing trend is given to study the system risk in the interbank offering market in China, then, there are some advices.

关 键 词：POT方法 在险价值 同业拆借利率 

分 类 号：F830.9[经济管理—金融学]