基于GARCH—VAR模型的银行外汇风险的实证研究  

Research on Exchange-rate Risk of Bank Based on GARCH-VAR Model

作　　者：王欣[1] 范宏[1] 

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《经济管理学刊（中英文版）》2013年第4期125-132,共8页Economic Management Journal

基　　金：国家自然科学基金面向项目70971021;上海市教委基础创新重点项目12ZS055

摘　　要：随着汇率制度的改革，金融机构所面临的汇率风险越来越大，为了准确的计量出商业银行的汇率风险并提出相关建议，本文建立了基于GARCH的VAR模型，收集了2011年到2012年的美元，欧元，港币，英镑，日元的汇率中间价，对于一个商业银行的外汇投资组合，利用模型计算出了组合的VAR值以及每种外币的VAR值，并且计算出了边际VAR，成分VAR值，增量VAR值，最后对投资组合提出了相关建议。With the reformation of exchange-rate system, the exchange-rate risk financial institutions undertake increases dramatically. In order to measure the risk accurately and offer an appropriate proposal, a GARCH-VAR model was constructed in this paper, in which the central parity rate of dollar, euro, Hong Kong dollar, pound, and yen in the year from 2011 to 2012 have been collected, and then for portfolio of commercial banks, portfolio VAR, every single VAR, MVAR, IVAR, and CVAR were calculated. Furthermore, recommendation was available for the portfolio

关 键 词：VAR GARCH模型 投资组合 汇率风险 

分 类 号：F832.5[经济管理—金融学]