商业银行汇率风险的VaR-GARCH(1,1)模型计量

Measuring Foreign Exchange Risk Using VaR - GARCH(1,1) Model

采用VaR-GARCH(1,1)模型,选取2003年至2009年人民币对四种外汇的交易数据度量了商业银行外汇资产组合的风险。研究发现,外汇收益率具有尖峰特征,且欧元和日元收益率服从正态分布。从GARCH模型的估计和检验来看,外汇收益率序列具有波动集聚性特点,因此GARCH(1,1)模型能够有效模拟收益率序列。在99.9%置信水平下,用VaR-GARCH(1,1)估计的欧元和日元外汇资产组合的最大潜在损失约为上一交易日市场价值的0.05%,以此度量了商业银行的汇率风险。

Using VaR - GARCH（ 1, 1） model and four foreign exchange data from 2003 to 2009, this paper studies foreign exchange risk of commercial bank. The study shows that the return of foreign exchange has obvious peak and EUR and JPY meet normal distribution with 1% confidence. According to the estimation and test of GARCH Model, the return of foreign exchange has characteristic of clustering of volatility, which means GARCH （ 1, 1） can be used to simulate the time series of foreign exchange. Under the 99.9% confidence, the maximum potential loss of the foreign exchange portfolio with EUR and JPY estimated by VaR -GARCH（ 1, 1） model is about 0.05 % of last trading day＇ s market value.