基于VaR技术的银行间同业拆借利率的度量研究  

The Measurement Research of Inter-bank Offered Rate based on VaR Technology

作　　者：佘珍 董纯 SHE Zhen;DONG Chun(School of Economics and Finance,Nanjing Audit University,Nanjing,Jiangsu 211815,China)

机构地区：[1]南京审计大学金融学院,江苏南京211815

出　　处：《金融教育研究》2019年第3期61-68,共8页Research of Finance and Education

基　　金：江苏省重点序列学科应用经济学资助(苏政办发[2014]37号)

摘　　要：随着对外开放的深化,我国利率市场化迈入新征程,利率风险管理尤为重要。自从2007年上海银行间同业拆借市场正式运行以来,上海银行间同业拆借利率有着向金融市场基准利率靠近的趋势,其地位的提高也意味着对其风险的准确度量至关重要。以上海银行间同业拆借市场利率为研究对象,选取了2013年1月4日至2017年7月28日的隔夜拆借利率,通过不同分布下的GARCH族模型对其波动性展开分析,并以选择的较优模型为基础度量对数收益率序列的空头和多头VaR值,同时对VaR模型进行Kupiec回测检验判断是否有效。结果表明:上海同业拆借利率序列存在轻微的自相关性和尖峰厚尾特征,其波动具有"反杠杆效应"; VaR模型对多头头寸而言过于保守;在GED分布下,ARMA(1,2)-GARCH(2,1)和ARMA(1,2)-TGARCH(1,1)模型对空头的利率风险度量最有效。With the deepening of opening to the outside world,the marketization of interest rates in our country has entered a new journey,and interest rate risk management is particularly important.Since the official operation of the interbank borrowing market in Shanghai in 2007,the interbank offered rate in Shanghai has come close to the benchmark interest rate in the financial market.The improvement of its status also means that the accurate measurement of its risk is crucial.In this paper,the interbank borrowing market interest rate in Shanghai was chosen as the study object.The overnight interbank borrowing rates from January 4,2013 to July 28,2017 were selected.The volatility was analyzed by the GARCH family model under different distributions.Based on the selected optimal model,the short and long VaR values of the logarithmic return rate series are measured,and the KuPiec backtesting test is performed to determine whether the VaR model is valid.The results show that there is a weak autocorrelation and spike-tailedness in the Shanghai Interbank Offered Rate series,and the fluctuations have"anti-leverage effect";VaR model is too conservative for long positions;under GED distribution,ARMA(1,2)-GARCH(2,1)and ARMA(1,2)-TGARCH(1,1)models are most effective in measuring short-term interest rate risk.

关 键 词：GARCH族模型 同业拆借利率 VaR ARMA SHIBOR 

分 类 号：F832.51[经济管理—金融学]