Based On VaR Model Of The Commercial Bank Interest Rate Risk Research And Empirical Analysis

Along with China's market-oriented interest rate of the substantive progress in the level of interest rates will show greater variability and uncertainty, interest rate risk will become China's commercial banks is the main risk. How to effectively strengthen the interest rate risk management of commercial banks to ensure sound and healthy operation of China's commercial banks has become a great challenge. At present, popular risk measurement tool is the VaR (Value at Risk) - Value-at-Risk model, VaR has become banks, non-bank financial institutions such as the Organization of the standard method of risk measure is widely used in the operation and management of commercial banks in .This paper reviews the interest rate risk management theory and a brief comparison, focuses on the measurement of interest rate risk VaR model approach and the inter-bank lending market in China as an example, select 4 January, 2007 to 2008 December 17 on a series of interest rate data, the commercial banks of China's renminbi business value of interest rate risk of the empirical research. The full text of the specific structure as follows:Introduction chapter of the interest rate risk related to the current state of theoretical research into. On this basis, Chapter II, Overview of interest rate risk of commercial banks, mainly on the causes of interest rate risk management, management mechanisms, manifestations and risk measurement approach; Chapter III,VaR model in the commercial bank interest rates Application of risk measurement, with an emphasis on the interest rate risk VaR measurement model model, introduced the principle of VaR models, calculation methods, testing methods, and on the VaR model in the application of China's banks do the analysis; Chapter IV ,VaR model based on the commercial banks interest rate risk measurement empirical analysis to the inter-bank lending market as an example, select the last two years the market of the real interest rate daily data, the use of VaR models for analysis, testing, VaR obtained model is the commercial banks interest rate risk measurement an effective tool; Chapter V, VaR model analysis of the constraints and prospects, primarily on the empirical analysis of Chapter丄, combined with the actual situation in China, commercial banks made use of VaR technology faces a number of constraints; final VaR model on the application of China's prospects some prospects.