VaR模型在我国银行同业拆借市场中的应用研究

On the Application of VaR Model in China's Inter-Bank Market

本文利用VaR模型通过2002年11月11日至2006年3月30日我国银行间同业拆借市场每日加权平均利率进行实证研究,建立了基于GARCH模型的我国银行间同业拆借市场利率风险测度VaR模型,得出以下结论:(1)t分布不适合描述我国银行间同业拆借利率序列的分布状况,GED分布能较好刻画我国银行间同业拆借利率序列的分布;(2)我国银行间同业拆借利率序列的杠杆效应不明确;(3)目前我国银行间同业拆借市场的利率风险较低。

Based on VaR Model in risk measurement, the paper tests the model with the diurnal weighted average of inter-bank borrowing interest rate from 11, November of 2002 and to 30, March of 2006. Based on the empirical study, the authors establish VaR Model in Chinese inter-bank market. Finally, the paper draws three conclusions ： （ 1 ） Chinese inter-bank offered rate is closer to distribution （GED）. （2） The leverage effect of interest rate in Chinese inter-bank is uncertain. （3） At present the interest rate risk in Chinese inter-bank is not high.