运用衍生工具管理我国商业银行利率风险的效率研究

The Efficiency of Using Financial Derivatives to Manage the Interest Rate Risk of Chinese Commercial Banks

随着我国期货市场的发展及利率市场化的不断完善,如何有效利用利率衍生工具对商业银行的利率风险进行管理已成为各商业银行关注的重点。根据样本数据特征,选择运用久期、最小方差模型、VAR模型、动态的MGARCH-BEKK模型、国债期货矩阵最小方差模型以及同时运用国债期货和利率互换的矩阵最小方差模型的套期保值方法,确定最优套期保值比率,可以实证研究其效果,分析优劣。经比较,动态套期保值模型和同时运用国债期货和利率互换的最小方差模型的利率风险管理效果较好。

With the development of futures market in China and interest rate liberalization,how to use interest rate futures to effectively hedge interest rate risk of commercial banks has attracted more and more attention.In this paper,according to the characteristics of data,we used the hedging methods based on duration,minimum variance theory,VAR model,MGARCHBEKK model and minimum variance matrix model to research using bond futures and interest rate swaps to hedge the interest risk of commercial banks. By comparing the hedging pros and cons of each model,the hedging models based on dynamic hedging model and minimum variance matrix model are more effective and suitable for China＇s commercial banks.