基于VaR模型及GARCH族模型的商业银行利率风险实证研究  

An Empirical Study on the Interest Rate Risk of Commercial Banks Based on VaR Model and GARCH Family Models

作　　者：刘田田 熊齐扬 LIU Tiantian;XIONG Qiyang(Dongwu Business School,Soochow University)

机构地区：[1]苏州大学东吴商学院

出　　处：《中国商论》2021年第21期101-104,共4页China Journal of Commerce

摘　　要：随着当前阶段我国利率市场化进程的不断深入,利率波动风险空前地增加了一大批商业银行自身面临的利率波动风险。本文选取2011—2020年上海银行间同业拆放利率(Shibor)为研究对象,基于VaR模型、GARCH族模型对其中的利率风险进行定量分析和定值研究。结果显示,对目前中国商业银行的隔夜拆借利率业务而言,该文章选取90%、95%、99%三个不同的置信度,所得到的最大损失分别为11.49%、14.81%和20.92%的资产市场价值。利率波动风险较之前显著下降,但无法否认的是,我国银行面对的利率波动风险依旧较大,最后本文提出了相应的对策以供参考。With the deepening of China's interest rate marketization,the risk of interest rate fluctuation has increased unprecedentedly for a large number of commercial banks.This paper selects Shanghai interbank lending rates(Shibor)from 2011 to 2020 as the research object,and conducts quantitative analysis and valuation research on the interest rate risk based on VaR model and GARCH family model.The results show that for the current overnight lending rates business of Chinese commercial banks,the maximum losses obtained from the three different credit levels of 90%,95%and 99%in this paper are 11.49%,14.81%and 20.92%of asset market value respectively.The risk of interest rate fluctuation is significantly lower than before,but there is no denying that the risk of interest rate fluctuation is still large for Chinese banks.This paper puts forward corresponding countermeasures for reference in the end.

关 键 词：利率风险 利率市场化进程 VAR模型 GARCH族模型 

分 类 号：F832.3[经济管理—金融学]