Risk Measurement And Empirical Study Of Chinese Commercial Bank That Based On VaR-GARCH Model

The commercial bank as the economic pivot of a country, and plays a crucial rolein the operation and management of risks. Now, the regulation of the internationalfinancial markets becomes relaxed gradually. Financial innovations are emergingconstantly. The fluctuations in the financial markets are increasing. The uncertainty ofthe financial markets increases,this makes the financial institutions facing morecomplex risks, and let the risk management much more difficult. From the reality, theinterest rates of the banks have been regulated strictly so long, and not sensitive to thechanges in interest rates, also the risk management lags behind the western countries.Therefore, how to measure the interest accurately and manage interest rate riskseffectively, have become the important problems of the banks.The measurement of the interest rate risk is the key point of the risk management,and the accurate measurement is the precondition and basis for the effectivemanagement. Now, the VaR model has become the major tool for the measurement riskin the western countries.Now, from a practical view of our country, our measurementmethods are still traditional, and we will not use the VaR model, that can not meet thesituation of increasing risks. Therefore, exploring the applicability in terms of riskmeasurement has the important and practical significance in China.The main line of this paper is the development of interest rate risk measurementtheory, with the combination of theoretical analysis and empirical research to study themain theory of the interest rate risk measurement and explore the applicability of VaRmodel in China. In theory, this paper describes the traditional interest rate sensitivitymodel, duration model, a more accurate VaR model, and highlighting the principle ofmeasurement and calculation process. Empirically, take the example of Shanghai Bankabout inter-bank lending market, which uses the method of parametric analysis of VaRmodel, also combines with the AR(2)-GARCH (1,1) model, and make a preliminaryexploration and analysis about the interest rate risk of lending market of our country.The results showed that at the the percent of95%, the VaR model passes the validationtest, means that the VaR model has some applicability in terms of interest rate riskmeasurement of our country. However, for the restrictions of the actual situation,theVaR model still has a long way to go. Therefore, this paper presents some specificsuggestions for this topic.