The Empirical Analysis Of Chinese Commercial Bank Interest Rate Risk Based On VaR

Along with the volatile financial situation in the world, the globalization of the financial market, and the liberalization of interest rate of our country, the interest rate risk of Chinese commercial bank is more and more obvious. The management of interest rate risk has caused great attention of scholar and banking supervisor.Take the government bonds owned by the commercial bank for example, this paper uses parameter method of VaR(Value at Risk) technique, together with the AR(2)—GARCH(1,1)model, aims to discuss the applicability of VaR technique in measuring interest rate risk of government bonds, and gives suggestion on interest rate risk management of commercial bank.The paper consists of five chapters. The first chapter is an introduction about the background and meaning of this paper as well as an overview of interest rate risk management methods home and abroad. The second chapter summarizes the theories of interest rate risk management of commercial banks. The third chapter summarizes three measure methods of interest rate risk of commercial banks. The forth chapter carries through the empirical analysis. The fifth chapter gives the conclusions and suggestions.Empirical analysis illustrates that the AR(2)—GARCH(1, 1)model pass the back testing, and it gives the risk an effective measurement. Compared with the similar researches that domestic to before, this paper gives an all-around summaries about the measure methods of interest rate risk, especially the VaR method, carries through the empirical analysis based on the parameter method. At the end of this paper, it provides development suggestions on the application of VaR method in the field of interest rate risk management in Chinese commercial banks.