收益率曲线动态与银行经济价值的利率风险

Yield Curve Dynamics and Banks'Economic Value Exposure to Interest Rate Risk

本文在收益率曲线动态的主成分分析基础上,运用MonteCarlo模拟的主成分VaR方法,以我国五家商业银行为样本研究银行账户经济价值利率风险的计量方法,并与巴塞尔委员会标准久期法的结果进行比较。同时,对VaR模型的有效性进行了样本外的返回检验。研究发现,五家银行的经济价值面临的是利率上升的风险;非正态主成分VaR模型估计的经济价值利率风险,都要大于正态主成分VaR模型的结果,这反映了利率波动的厚尾特征,正态假设有可能低估风险。

The paper studies the measurement of economic value exposure to interest rate risk in the banking book, using the sample of five Chinese commercial banks. Principal component VaR models using Monte Carlo simulation are studied, based on the analysis of yield curve dynamics. These results are compared with the results from Basel Committee＇s standardized duration approach. Meanwhile, the validation of VaR models is implemented with out-of-sample back-testing. The results show that： All five banks＇ economic value is subject to the risk of the rise in interest rates. The economic value risk predicted by non-normal principal component VaR models is greater than that predicted by normal models, reflecting the heavy-tailed distribution of PCA series. Therefore, the normal distribution assumption may underestimate the interest rate risk.