Research On The Interest Rate Risk Of Commercial Banks In China Based On VaR And CVaR

With the continuous development of the financial market,in order to comply with market demand and promote economic prosperity,China officially proposed interest rate liberalization in 1992,and gradually liberalized interest rate control.Interest rates are no longer regulated by the government,but completely change with market fluctuations.In the past 20 years,interest rate liberalization has greatly improved the domestic economic system and promoted the development of the banking industry.At the same time,it has brought great interest rate risks.At present,interest rate risk has become one of the most important risks faced by banks.Therefore,using reasonable methods to measure and control interest rate risk has become the premise and basis for the stable development of commercial banks.Based on the marketization of interest rates in China,this paper studies the measurement and management of interest rate risk of commercial banks.Firstly,this paper gives a brief background description of interest rate marketization,and combs the literature of interest rate risk measurement at home and abroad;Secondly,it describes the relevant concepts of interest rate risk,expounds its definition,main causes and categories,and reviews the history of interest rate marketization in other representative countries and the development course of interest rate marketization in China,and introduces the common concepts.The knowledge of interest rate risk model,including sensitivity gap method,VaR method and CVaR method,illustrates the advantages and disadvantages of various methods.Thirdly,the overnight interest rate of SHIBOR,which is a good representative of China's interest rate market,is selected as the sample data for empirical analysis,and the overall interest rate risk of China's commercial banks is measured by calculating VaR.First,the historical simulation method is used to calculate the interest rate risk.After that,interest rate return series is established,interest rate volatility is depicted by EGARCH(2.1)-GED model,and data results are calculated by parametric method.At the same time,CVaR is calculated to supplement VaR results.Empirical results show that VaR method is used to measure interest rate risk of different banks.It is feasible to measure interest rate risk,but CVaR has better descriptive ability to risk in extreme cases.When estimating interest rate risk,we should refer to these two methods to control the interest rate risk of banks comprehensively.Finally,based on the empirical results,this paper resents a CVAR-based interest rate stress test,it also puts forward some suggestions on the interest rate risk management of commercial banks.