Calculation Research On Interest Rate Risk Based On VaR Model

Along with the freedom of money market sweeping across the world, risk management has become an important research object in financial research and financial management. At the same time, as the core of financial risk management, the method for measuring risk has attracted more and more attention. The main target of risk measurement is to show the position of risk, thus to better the controlling and management. Risk management is composed of market risk, credit risk, exchange rate risk and interest rate risk, etc.This paper mainly concerns on the risk measurement about interest rate. As the development of the freedom in financial market, researches on interest rate risk has experienced a process from a static state to a dynamic one. Traditional static researches couldn't satisfy the demand of financial market. The dynamic research method of risk management has become a main method in appliance and research area, and the most important one is VaR method. But because of the different situation of every country, the result of VaR method is different and because most of the researches are focusing on the field except interest rate, thus the aim of this paper is to use interest rate which can represent the instantaneous rate best and use VaR methods to find the model which can fit the true situation of our country best.This paper is composed of 4 parts:The first part is Introduction which introduces the background of this paper, the condition of the research of the world, the main task of this paper and the meaning of this paper. The second part is about the theory of interest rate risk management of commercial banks which contains the causes and the shortcomings of the method of traditional interest rate risk management. At the beginning of the third part is the introduction of the definition and the principle of VaR method and other part of this article is about partial evaluation method and complete evaluation method. The final part of this paper is positive analysis, which introduces data selection method, deposing method and the result of VaR methods. According to the comparison of these methods in the forth part, we find the measurement method which can fit the true commercial banks'interest rate risk of our country best.