我国商业银行市场利率风险度量研究——基于银行间同业拆借利率  

Research on the Measurement of Interest Rate Risk of Commercial Banks in China:Based on the Interbank Offer Rate

作　　者：李响 LI Xiang(Yinchuan Provincial Sub-branch PBC,Yinchuan Ningxia 750001)

机构地区：[1]中国人民银行银川中心支行,宁夏银川750001

出　　处：《西部金融》2020年第11期32-37,共6页West China Finance

摘　　要：当前商业银行已成为我国金融市场参与主体,市场利率风险是其面临的主要风险之一。本文以银行间同业拆借市场利率为视角,建立基于正态分布、学生分布和广义误差分布下的GARCH模型和EGARCH模型分别刻画市场利率特征,在此基础上构造AR(1)-EGARCH(1,1)-t-VaR复合模型来度量我国商业银行面临的市场利率风险。结果显示:我国银行间同业拆借利率收益率具有显著的杠杆效应,相较于利空消息,利好消息对序列造成的"冲击"更大;随着同业业务快速发展,商业银行对市场流动性的变化更为敏感,所面临的利率风险水平较大且呈现趋势性抬升特征。本文提出进一步完善利率风险管理系统、积极发展金融衍生品对冲利率风险等建议。At present, commercial banks have become the main participants in China’s financial market, and market interest rate risk is one of the main risks they face. In this paper, from the perspective of interbank lending rate, GARCH model and EGARCH model based on normal distribution, student distribution and generalized error distribution are established to describe the characteristics of market interest rate. On this basis, AR(1)-E-GARCH(1,1)-t-var composite model is constructed to measure the market interest rate risk faced by com-mercial banks in China. The results show that the rate of return of interbank offered rate has significant leverage effect. Compared with bad news, the "impact" of good news on the sequence is greater. With the rapid develop-ment of interbank business, commercial banks are more sensitive to the changes of market liquidity, and they are faced with a higher level of interest rate risk and tend to rise. Finally, some suggestions are given to further improve the interest rate risk management system and actively develop financial derivatives to hedge interest rate risk.

关 键 词：商业银行 利率风险 杠杆效应 

分 类 号：F832[经济管理—金融学]