基于ARMA-GARCH模型的利率市场风险度量

Interest Rate Market Risk Measurement Based on ARMA-GARCH Model

近年来我国利率市场化进程不断加快,利率风险管理问题再次凸显,上海银行作为短期流动性资金融通的工具其间隔夜拆放利率(Shibor)逐渐成为各金融机构主要参考的基准利率。以2006年10月8日至2020年10月30日隔夜Shibor数据为研究样本,构建ARMA-GARCH模型,并在95%和99%置信水平下利用VaR方法度量隔夜Shibor市场对数收益率的风险价值。结果表明:GED分布相较于正态分布和t分布更能描绘隔夜Shibor对数收益率序列尾部特征;ARMA(1,2)-TGARCH(2,2)-GED最能刻画隔夜Shibor对数收益率序列的分布且非对称项的估计结果表明存在“反杠杆效应”,即正的冲击对于同业拆放利率市场波动性的影响要大于负的冲击;隔夜Shibor利率敏感性资产日均最大风险损失比率可达15.35%,利率风险损失值相对较高。因此,在利率市场化逐步推进过程中,商业银行需注意调整业务结构,适度提高金融衍生品利用率,不断加强自身利率风险管理能力。

In recent years,the progress of China’s liberalization of interest rate has been speeding up.The problem of interest rate risk management is highlighted again.As a short-term liquidity facility,Shanghai Interbank Offered Rate(Shibor)has gradually become the main reference rate for financial institutions.Based on overnight Shibor data from 8th October 2006 to 30th October 2020,the ARMA-GARCH model is constructed and the risk value of logarithmic return rate of overnight Shibor market is measured by VaR method at 95%and 99%confidence levels.The results show that the GED distribution can describe the tail characteristics of overnight Shibor logarithmic return series more than the normal distribution and the t distribution;ARMA(1,2)-TGARCH(2,2)-GED best describes the overnight Shibor logarithmic return series and the estimation results of asymmetric terms show that there is a“leverage effect”,that is,the positive impact on the volatility of interbank offered rate market is greater than the negative impact;daily maximum risk loss ratio of overnight Shibor interest rate sensitive assets can reach 15.35%and interest rate risk loss value is relatively high.Therefore,in the process of liberalization of interest rate,commercial banks should pay attention to adjusting their business structure,appropriately improve the utilization rate of financial derivatives,and constantly strengthen their own interest rate risk management ability.