| This text bases on the background that the financial reform of our country deepens, to domestic commercial bank being weak to the risk management consciousness of the interest rate, it is relatively poor that the interest rate risk estimates models and technological result, the comprehensive management level is relatively low, question of can't meet administrative decision's needs etc., on the basis of early traditional interest rate risk office procedure of comparative analysis, introduce at present the interest rate risks used extensively estimate tools in the world—VAR model, carries on quantitative analysis to the interest rate risk faced of commercial bank of our country, and the result examined according to the real example, has proposed estimating the law with containing jump of the event risk- GRACH model at the core and multi-levelly synthetically further, have comparatively reflected the actual conditions of the commercial bank rate risk of our country accurately. It has not merely offered certain technical support for implementing overall interest rate risk management in the domestic commercial bank, have offered a kind of new method for improving and perfecting domestic interest rate risk management further too.The similar research that domestic to before, the innovation of this, text was clicked and lain in : ( 1) Different from at present the straight attitude which most research institutes adopt supposes , examine according to the straight attitude that the sample data fluctuate to the interest rate. ( 2) Have improved to traditional VAR method , will fluctuate because of the accidental interest rate that can't estimate the incident and cause soon the state will be incorporated into the original risk value computational process, make risk value estimate accurate , remedy VAR method describe the deficiency of for the incident. ( 3) Use method that examine afterwards that Basel stipulate in the agreement to routine GARCH model and contain GARCH model of event risk is it is it examine to compare with to go on, the result shows that the latter is more reliable and more practical than the former, accord with the inspection request for the inside model of the tolerance of risk of the bank rate in the agreement further. |
