Empirical Research On The Measurement Of Interbank Rate Risk Of Commercial Banks In China

In June1,1996, the people’s Bank of liberalized inter-bank lending rates, which means that our country really started the marketization of interest rates. After more than ten years,the people’s Bank of the progressive realization of the market a variety of interest rate, in2013July is the full liberalization of the domestic financial institutions loan interest rates, a move that marked the into the overall interest rate marketization in China times. There are many benefits of the interest rate market economic operation and development of the country, for example, can optimize source allocation function of capital market to improve the efficiency of financial system in all countries, but we should recognize that, it brings more interest in also increased the difficulty of the subject of national financial institutions, the management of interest rate risk that commercial banks face. Compared with the western developed countries, the commercial banks in our country exist on the importance of understanding the defects of interest rate risk management,interest rate risk management mode is single, management system is not perfect, imperfect regulatory measures. So the research of commercial bank interest rate risk has very important practical significance to measure, there are varieties of Chinese interest rate system, they thought we choose Shanghai interbank offered rate (Shibor), there are two main reasons:at the macro level, the Central Bank of our country vigorously support and the development of Shibor, in the formulation of monetary policy and the issuance of treasury bonds will Shibor into the reference range; at the micro level, the Shibor of our country commercial bank financial products pricing, profit ability and risk control etc. have a influence should not be underestimated. So I will research scope for the Shangha interbank interest rate risk of commercial banks of china.In order to better illustrate the importance of interbank interest rate risk of commercial banks, this paper in the second chapter of the inter-bank lending market are reviewed; the focus of this paper is the empirical interest rate risk section of the fourth chapter, in the third chapter the advance of the interest rate risk measurement methods are described, first introduces the traditional measurement of interest rate sensitive gap model method analysis methods,then introduces VaR measurement method. The empirical chapter fourth is divided into two parts, the first part of ten selected national scope of business, asset scale on the commercial banks, refer to the ten commercial banks during the first half of2014financial report, get their interest rate sensitive gap data in different period, and then use the interest rate sensitive gap method for its analysis, learned that most commercial banks in the short-term (three month period) showed a negative interest rate sensitive gap,wherein the negative gap of interest rate sensitivity of the Construction Bank maximum, about3.9trillion yuan, from a long-term perspective, the commercial banks for more than one year time limit for interest rate sensitive gap generally positive. After the concept of commercial bank in the interest rate sensitive gap size, second were calculated using the VaR method at the95%confidence level interest rate sensitive gap unit value face daily value at risk as much. The sample data for the next day Shibor data, the data range from October8,2006to to March20,2014, the number of samples N-1872. In order to reduce round off error estimation, the Shibor sequence as the log processing, get the LR sequence. In order to enable the use of the VaR model has practical significance, modeling before the sequence hypothesis testing, i.e., stationary test, normality test, correlation test and conditional heteroscedasticity test.Results of hypothesis test is LR sequence is stationary, non existence of normal distribution, auto correlation and heteroscedasticity phenomena in sequence, hypothesis testing process, determine the conditions of LR series mean equation of AR (2) model of the self regression fitting degree is very high, but as the series have conditional heteroskedasticity effect, therefore I am the structure of AR(2)-GARCH (1,1) model to calculate the VaR value. The conditional mean equation and the conditional variance equation GARCH model by EViews software, the square root of the conditional variance equation sequences using Excel,get the daily volatility sigma T, average value for t is0.1270413, and at the5%confidence level the GED quantile G alpha0.410679. Both multiply in the95%confidence interval is obtained under the daily maximum possible value at risk is0.052units. The empirical results is the significance and provides a new idea for the measurement of interest rate risk of commercial bank, interest rate sensitive gap is the traditional static analysis method and more advanced dynamic VaR method combined with estimates of daily value at risk of commercial bank. The benefits of doing so lies in the gap condition through the interest rate sensitive gap analysis method of commercial banks to a certain period of time have a clear understanding of the commercial banks, at the same time according to the interest rate sensitive gap conditions and their own operating conditions, choose the maximum daily loss of different degree of confidence to estimate a unit of interest rate sensitive gap value face value in using the VaR method when. Commercial banks seek interest sensitive assets the value at risk, can be targeted to use a variety of interest rate risk control methods of prevention and management. At the end of the article, I put forward some suggestions to perfect interest rate risk management of commercial banks in China, hope to be able to effectively make a contribution to the control of interest rate risk of commercial banks in China.