我国商业银行隔夜拆借利率风险值(VaR)度量——基于时变波动率方法的研究

Risk Value( VaR) Measurement of Overnight Rate of Commercial Banks in China——Based on Time- varying Volatility Method

通过GARCH模型和TARCH模型的对比选择最优模型,在使用VaR方法的基础上对我国商业银行所面临的利率风险进行度量,得出在利率市场化背景下我国商业银行所面临的利率风险有增无减,而且利率对于商业银行的冲击存在非对称性的实证结果,并根据实证结果提出了相应的政策建议。

By comparing the GARCH and TARCH model, the paper selects the better one and measures the interest rate risk of the commercial banks based on the method of VaR. The empirical analysis shows that the interest rate risk of the commercial banks is in- creasing with the deepening of privatization of interest rate and the impact of interest rate on the commercial banks has the characteristic of asymmetry. And then the paper puts forward the policy suggestions according to the empirical result.