The Research On Chinese Commercial Bank Interest Rate Risk

At present,China's interest rate marketization reform has gradually entered the deep water period,and the interest rate risk faced by China's commercial banks has also undergone great changes,from the policy risks faced under interest rate control to the interest rate market risks and the exposure of business management decision-making processes.Business risk.In this context,the use of scientific methods to measure interest rate risk has become the key to the"breaking into a butterfly" of commercial banks in China.Through the comprehensive comparison of interest rate sensitivity gap model,convexity and duration(duration)model,VaR method and ES method,and comprehensive judgment of VaR and ES calculation methods,the paper finally chooses the wave model and extreme value theory combined with the calculated VaR.And ES method to measure the interest rate risk of China's commercial banks.The interbank lending rate in Shanghai is the most market-oriented market interest rate in China.It has a distinctive Chinese financial market characteristic and forms a positive interaction with the money market.It is widely used in the pricing process of market-oriented products.Through research and analysis of the basic trend of Shibor,we can judge the overall trend of commercial banks in China in a short period of time and the expectation of market interest rates.Therefore,the overnight Shibor and 7-day Shibor data from January 2,2014 to December 29,2018 were selected as the basic data for empirical analysis.First,a statistical feature test is performed on the selected sample data.Secondly,it is assumed that the perturbation term of the mean equation and the perturbation term of the wave equation in the stochastic wave model obey the Student-t distribution,and the Student-t distribution is expressed as a mixed form of normal distribution scale,and the SVL with a bivariate Student-t distribution Model is fitted to fit the overnight Shibor and 7-day Shibor characterization.The yield sequence is again converted into a standard residual sequence according to the parameters estimated by the SVL model with a bivariate Student-t distribution Model,and the tail portion of the standard residual is fitted with the GPD model,and the VaR value and the ES value of the overnight Shibor and the 7-day Shibor are calculated.Finally,the model accuracy test is performed.The empirical results show that the SVL with a bivariate Student-t distribution Model can well describe the characteristics of overnight Shibor and 7-day Shibor interest rate volatility.The GPD model captures the tail features of the overnight Shibor and 7-day Shibor.The SVL with a bivariate Student-t distribution Model Combined with GPD Model accurately measures the risk of overnight Shibor and 7-day Shibor gains,and can adjust VaR and ES values based on current volatility.The VaR curve covers the actual fluctuations in yield,while the ES curve covers a wider range of left-tail risk.At 95%and 99%confidence,the VaR values calculated by the overnight Shibor and 7-day Shibor based on the SVL with a bivariate Student-t distribution Model Combined with GPD Model can be tested by Christoffersen and Kupiec,and the ES values can be tested by LE.