基于VaR方法的银行间短期债券回购利率风险度量研究

A VaR-based Study on Interest Rate Risk of Inter-bank Short-term Bond

研究VaR方法在银行间短期债券回购利率风险度量的应用,选用2008年9月16日～2011年1月14日银行间回购市场的7天回购利率作为研究变量,设定残差序列服从正态分布和t分布,分别建立GARCH和EGARCH模型,计算VaR数值并对所计算VaR的准确性进行检验。实证结果表明:基于残差序列服从t分布假设所计算的VaR数值优于基于正态分布假设所计算的数值;基于EGARCH模型所计算的VaR数值比基于GARCH模型计算数值更加准确。

The aim of this paper is to analyze the interest rate risk of inter-bank short-term Bond based on VaR method.It uses the inter-bank repo market seven-day repurchase rates among Sep.16th 2008 and Jan 14th 2011 as research variables,sets the residuals follow normal distribution and t distribution,establishs GARCH and EGARCH models,calculates VaR and estimates the VaR accuracy.The empirical results show that:the result based on model with tdistribution residuals has higher accuracy over the model with normal distribution residuals;the result based on EGARCH model has higher accuracy over the GARCH model.