上海银行间同业拆放利率ES风险度量研究

Research of ES for Shanghai Interbank Offered Rate

随着基准利率地位的不断变化,上海银行间同行业拆放利率(SHIBOR)市场风险管理对金融机构将会越来越重要。然而同正态分布相比而言,SHIBOR收益率变量具有偏态等特征。提出采用广义双曲线分布来拟合收益率序列。为了解决参数估计难的问题,提出利用强有力的EM算法对于解决像包含Bessel函数这样复杂、具有大量局部最优解的优化问题,具有很现实的意义,同时利用蒙特卡罗模拟方法来计算广义双曲线分布下的VaR值、ES值,最后讨论广义双曲线分布在SHIBOR市场风险度量中的应用。

Risk management about SHIBOR will be more and more important for financial market.It is a well-known fact that returns of SHIBOR are more peaked and has heavier tails than the normal distribution.This paper uses the generalized hyperbolic distribution to model returns.In order to solve the problem of parameter estimation,we use the EM algorithm,which proves to be robust and fast convergent in the optimization of complex functions with Bessel functions.Lastly,we discuss the application of generalized hyperbolic distributions to risk measurement in SHIBOR market.