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论文编号：	8311
作者编号：	2120132838
上传时间：	2016/6/7 16:00:29
中文题目：	BJ商业银行利率风险管理研究——基于VaR方法
英文题目：	The research on interest rate risk management of BJ commercial bank ——Based on VaR method
指导老师：	余娟
中文关键字：	商业银行；利率风险管理；VaR；GARCH模型
英文关键字：	Commercial banks;Interest rate risk management;VaR;GARCH model
中文摘要：	VaR计量方法作为目前国外银行广泛认可和使用的组合风险测量方法，他可以直接运用各种数据样本衡量银行的风险总值，能较好地适应金融市场动态发展的趋势，提升商业银行利率风险管理水平，故本文尝试性的对国内某商业银行的利率风险选取同业拆借利率中时间间隔最短，对风险波动最敏感的隔夜Shibor作为研究对象，以VaR的方法对其利率风险进行度量，并结合银行利率风险管理所存在的问题进行分析，给出改进措施和可行性建议。本文借鉴众多学者关于Va R在利率风险度量的研究，选择能够很好的描述金融时间序列波动聚集性特点的GARCH模型对收益率分布建模；考虑到序列自身还存在杠杆性和非对称性的特点，通过将2011-2015年间 的观测值代入不同条件分布下的GARCH模型进行验证，发现T-GARCH模型拟合度较高，同时还要考虑残差分布的不同假设对模型的准确度的影响，选择极限理论中的PO T模型对残差序列超过阙值的极值分布进行建模，将得到的极大似然估计参数带入到关于Va R的方程中，最终获得关于利率风险VaR值得动态度量模型。 VaR方法对动态风险准确的测量，对国内商业银行风险测量的不足之处进行了弥补，基于对银行风险值得度量，银行管理者可以更好地对利率风险进行预防和控制；并通过进一步建立完善管理组织结构，引进先进技术和人才来达到提高本行利率风险管理水平的目的，这对于商业银行自身健康稳定的发展有着积极的意义。
英文摘要：	VaR is a widely recognized measurement method that applied to evaluate portfolio risks by most overseas financial institutions,it can be directly used to measure the interest rate risk for commercial banks in China and it is conducive to the improvement of the risk management level,it can also reflect the dynamic development trend of financial market effectively .This article chose the overnight rate of Shanghai interbank market to simulate variable market rates,for it is the most sensitive index of market fluctuations reflected in the shortest time interval among all.We could observe the specific date of the daily interest rate risk to study the interest rate market ?uctuates . Basing on the analysis of the problems existing in a certain commercial bank’s interest rate risk management, the improvement measures and the feasible suggestions are given. Through quantitative scholars’ study on the VaR method in the interest rate risk measurement , this article assumes GARCH models could give the best description of financial time series with the characteristics of volatolity and aggregation.Veri?ed by the GARCH models,to analog data under different distribution and compare the effect according to the result , it is found that the best ?t result is the model based on the t distribution under the confidence interval.On the other hand, considering the residual sequence under different conditions may affect the accuracy of the model,according to the extreme value theorem shows that under the T-GARCH condition,the residual sequence is made of a serious of floating points which are beyond the given threshold,turning out to a POT model and the coefficient of maximum likelihood estimation are determined,the results into the VaR function formula can get a more accurate VaR model,the conclusion verifies the hypothesis precisely. The application of VaR method in dynamic risk measurement not only makes up the domestic commercial banks’ shortcomings,also can bank managers get a better observation on the interest rate risk prevention and control.Even better,they finally realize that it is significant to establish organizational structure of management and improve the introduction of advanced technology and talents ,the immediate problem is meanful to the interest rate risk management level and the healthy and stable development in future
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