Interest Measurement Model Construction And Empirica Study Under Basel Ⅱ Supervision

The Basel Committee on Banking Supervision published the new Basel Capital Accord with the perfect capital adequacy frame as the main contents On June 26, 2004, and which had carried out formally in 10 countries in 2006. On February 27, 2007, the CBRC "the Chinese banks implementing the New Capital Agreement Instruction Opinion" stipulated:the banks approved for implementing the new Capital can postpone but not later than 2013.With the pace of the new Basel Capital Accord supervision, our bank risk management will be more complex, especially market risk and operation risk, it needs not only a lot of historical data but also suitable measurement model, so building the measurement model of interest risk is relatively difficult in our banks. In view of the interest risk management, this whole article mainly is divided into six chapters, and the main contents of each chapter are as the following:Chapter 1 is an introduction. At first, it announces the selected topic background, goal, significance and the essence of the subject. Then, in the part of literature review, it introduces the domestic and foreign development of the studies about the interest risk management. Finally, it introduces the main content and method of this article.Chapter 2 mainly discusses about the request and principle about the interest risk from the new Basel Capital Accord. From 1988 to 2006, the new Basel Capital Accord had made three revisions. After the unceasing revision and the consummation, the new Basel Capital Accord gradually includes three risks, namely the credit risks, the market risk and the operation risk. But the new Basel Capital Accord has more detailed request and clear measurement model to credit risk management, but it is particularly unclear to the market risk, especially interest risk management's method choice, which brings a certain difficulty for the commercial banks to build the measurement model on interest risk, particularly grasping the standard.Chapter 3 attempts to analysis the Chinese characteristic interest risk the present situation in our country, from these aspects of interest policy, actual interest fluctuation situation, the influence of interest liberalization to the commercial banks, as well as the interest risk manifestation, under the background and development condition of the interest liberalization reform in our country.Chapter 4 is based on the interest rate sensitivity to study the interest risk degree about the joint-stock banks. The analysis method of the interest rate sensitivity gap is the unified and main traditional method on interest risk management in the annual report of the domestic commercial banks at present. Chapter 5 makes an empirical research of the interest risk degree to the commercial banks by the GARCH model based on the VAR method. By using the tools of and Eviews5.0 and SPSS, we have calculated the VAR of listed joint-stock banks of different scales, of different years, and make a comparison. So the VAR can predict the control and the guard to the interest risk and reduce the interest risk which the commercial banks face.Chapter 6 makes a conclusion of the results and the limitations of this article, and proposes the direction of further research. At last, it proposes a series of suggestions of interest risk management.Research conclusion:The interest sensitivity analysis method can weigh the interest risk degree, but it is lag, which cannot satisfy the supervision request; But the GARCH model on the analysis methods of the VAR, we can compute expected loss value under the t distribution, which can reflect that the possible loss will not be greater than the 25.55% Wt, and the interest risk degree is ratively high, so we must adjust capital preparation timely.There are two big innovations of the empirical research:Firstly, based on interest rate sensitivity, we get the firsthand data to compare interest risk degree and defensive measures of the seven joint-stock banks. Secondly, by the GARCH model on the analysis methods of the VAR, we compute expected loss value, thus establish an interest defensive system under the New Basel Capital Accord.