An Application Research Of VaR In Measuring The Interest Rate Risk Management Of China’s Commercial Banks

Along with China’s market-oriented interest rate of the substantiveprogress in, interest rate risk will become China’s commercial banks isthe main risk. The core and precondition for commercial banks toenhance interest rate risk management and improve the ability of riskmanagement, is to carry out efficient measurement of interest rate risk.However, the method of the Interest rate sensitivity Gap and Durationmethod was used in commercial banks of China widely. At present,popular risk measurement tool is the VaR model, VaR has become banks,non-bank financial institutions such as the Organization of the standardmethod of risk measure is widely used in the operation and managementof commercial banks in.This paper reviews the interest rate risk measurement theory and theapplication of the VaR model, focuses on the measurement of interest raterisk VaR model approach and the inter-bank lending market in China(SHIBOR) as an example, select4January,2007to2011December31on a series of interest rate data, the commercial banks of China’s renminbibusiness value of interest rate risk of the empirical research.The full text of the specific structure as follows: Introduction chapterof the interest rate risk related to the current state of theoretical researchinto. On this basis, Chapter II, Overview of interest rate risk ofcommercial banks, mainly on the causes of interest rate risk management, management mechanisms, manifestations and risk measurement approach;Chapter III, VaR model in the commercial bank interest rates Applicationof risk measurement, with an emphasis on the interest rate risk VaRmeasurement model, introduced the principle of VaR models,calculation methods, testing methods; Chapter IV, VaR model based onthe commercial banks interest rate risk measurement empirical analysis tothe inter-bank lending market as an example, select the last five years themarket of the real interest rate daily data, the use of VaR models foranalysis, testing, VaR obtained model is the commercial banks interestrate risk measurement an effective tool; Chapter V, according to the actualsituation in our country, this paper discusses the method of VaR inChinese commercial Banks in the interest rate risk managementapplication prospect; Chapter VI, VaR model analysis of the constraintsand prospects, combined with the actual situation in China, the GEDdistribution of GARCH(1,1) model can describe the situation of interestrate risk of the commercial banks better.