| In recent years, due to the impact of economic globalization, financialintegration, financial innovation, technological innovation and other factors,the global financial market has been developing rapidly. After the Asianfinancial crisis, USA sub loan crisis and global financial crisis, variouscountries come to realize the importance of financial risk management ineconomicsystem. Because financial risk has enormous influence to the stabledevelopment of global economy, how to reasonably manage and controlfinancial risk has become a problem which must be solved for the governmentand the financial regulatory authorities. Without doubt, the management andcontrol of financial risks of financial institutions has become one of the mostimportant core competitiveness.VaR is the most widely used method of risk measurement in practicalapplication at present. Now, there are already more than1000commercialbanks, insurance companies, investment funds and nonfinancial companiesusing VaR as its financial derivatives risk management tools. Since theJ.P.Morgan put forward the method of VaR in1994, many scholarshave conducted in-depth research and study of this method, and put it intothe practical application, which had tremendous stimulative effect to worldriskmanagement level enhancement.The purpose of this paper is to use the Quantile regression methodto measure the risk of the interbank bond market, and compare the quantileregression method of VaR measure with the parameter method of VaRmeasure. Compared with the parameter method, quantile regression model notonly has good stability that no need to make strict assumptions of theconditional distribution, but also has good resistance to outliers in the data,and, parameters estimated with asymptotic optimality in the large sampletheory. The advantage of the quantile regression model fully shows that it has a very broad space for its application in risk measurement field, but alsoprovides a new method for risk measuring interbank bond market. |
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