The VaR Empirical Research On The Interest Rate Risk Between Chinese Interbank Market

With the process of Chinaese market-oriented interest rate reform isconstantly promoting, and fluctuations in market interest rates fluctuatmore frequently, interest rate risk is rising as the main risk whichcommercial banks faced in their management. Prevention andmanagement of interest rate risk will also be an important task of Chinesecommercial banks. Over a long period of time in our country’s interestrates have been under strict state regulation, but with the speed theprocess of global economic integration grow fast, in order to keep pacewith the times and develop Chinese financial market system, we mustreform the financial markets, and the interest rate market must bereformed first. In recent years, people claim interest rate marketizationlouder, and our country also make many efforts in this respect. You cansay that interest rate marketization is an inevitable trend of Chineseeconomic development. In the process of interest rate marketization,interest rate risk faced by commercial banks have become increasinglyprominent. Therefore, Chinese commercial banks and the relevantregulators should take enough attention on interest rate risk. In addition,research on interest rate risk of commercial banks have also developedrapidly. Perspective on the study abroad, in order to face the increasinglycomplex financial market environment, we must adopt some rigorous andscientific tools to measure risk. VaR is this one of the representatives.VaR was widely respected by the researchers after itput forward., And it is anwidely used international risk measurement tool now. This paper willanalyze interest rate risk of Chinese commercial banks, combined withChinese market interbank market which is the highest level marketizationmarket, use VaR to measure the rate risk of Chinese commercial banks. Inthe calculation of VaR, this paper uses GARCH model and quantileregression model to analysis rate risk. Compared to GARCH modelswhich applyed generally, Quantile regression has its own uniqueadvantages. Some scholars even believe that quantile regression is thefuture trend. This paper shows that quantile regression has a better fittingresults on SHIBOR data through empirical research, and more suitablefor Chinese commercial banks lending market risk measurement.