The Interest Rate Risk Measurement Research Of China's Cnmmercial Bank Based On VaR

Interest rate risk has been a challenging and vital issue in the international banks,so it is in China.Since we joined the WTO,we are facing the increasingly competitive invironment.With the development of the marketization reform of the interest rate,Interest rate risk has become one of the most important risks in our commercial banks.So how to estimate the risk is an practical problem which makes the management of this risk significant,however,the weak awareness,the imperfect interest rate risk management system and how to estimate the risk by scientific methods will be the first task needed to sovle. That is what this article discussed.In this paper we will estimate the interest rate risk between the long and the short based on the data from Jan 3rd,2009 to Dec 31st,2010 in Shanghai Interbank Offered.The point is devided into three parts.Firstly,we introduced the measurement methods and compared their advantages and disadvantages.Secondly,we introduced the main principle,computational method and limitation of Valur-at-Risk.We combined the GARCH model with Value-at-Risk method to analyse the data in Shanghai Interbank Offered and check the model's accuracy.Finally,made suggestions about improving the interest rate risk management in our commercial banks.The results show that the fluctuations in our interbank offer market are intense,the long and the short have different VaR.The GARCH model can better describe fat-tailedness especially GARCH(1,1) model.The high risk we are facing and the low-lever of risk management,so the VaR method based on GARCH model can be better to control the risk.Using VaR in the measurement of interest rate risk has prectical significance to the risk management in our commercial banks.And that is the key link with the international risk management,however,it will be affected by imperfect risk management system and database,the lack of professional staff during the process.