Research Of VaR In The Measurement Of Commercial Bank’s Interest Rate Risk In China

As the marketization of interest rate process forward, the level of liberalization ofinterest rate environment of Chinese commercial Banks faced with will be increasing.Interest rate changes along with the advancement of marketization of rate increases, theoff-balance-sheet business of interest rate risk is more attended by commercial Banks,the level of interest rate risk management needs to be improved; At the same time, thecomprehensive risk management in commercial Banks advanced risk management idea,which is widely used in the world and morely regarded by domestic Banks and attention.Comprehensive risk management based on value at risk, different business lines withinthe banking system, different types of risk unified unit of measurement, implements thecomprehensive measurement and control limit the risks. At the same time, the var ismuch more precise and applicable compared to the traditional interest rate riskmeasurement, both of the balance sheet and off-balance sheet of interest rate risk can bemeasured, and the combination hedge effect can be also taken into account.This dissertation revolves around the core steps of interest rate risk management,namely interest rate risk measurement study. This paper first theoretically analyses thebasic principle of value at risk, compared the var value measurement method and theapplicability. In part1, from two levels of interest rate risk measurement, first of all toshibor (O/N), for example, on a single business level of interest rate risk measurement,the use of historical simulation and monte carlo method, and compares the industrialand commercial bank of China and deutsche bank on interest rate risk measurement isdifferent; Secondly, the interest rate risk lumped between different business, tells thestory of Joe, decomposition and a series of around a number of business, consideringthe effect of dispersed integrated interest rate risk measurement. A single business levelof interest rate risk is the basis of the integrated interest rate risk of commercial bank,two levels of var value is applied, the interest rate risk measurement is much more tolearn.According to the contrast of domestic and foreign commercial Banks interest raterisk management situation, a single interest rate risk of a number of empiricalmeasurement, business diversification of measurement theory, this paper put forward to improve Chinese commercial Banks interest rate risk measurement and managementsuggestion: they should improve market risk data mart construction, improve thecommercial bank interest rate risk measurement model (internal model method), toimprove risk control based on value at risk of market, enhance the level of interest raterisk management strategy cooperation way, via the aspects of comprehensive enhancethe level of commercial bank interest rate risk measurement and in specific businesslevel of commercial Banks and the Banks’ overall level of better using the var model forthe control of interest rate risk and active risk management framework provides theproposal.