Research On CHIBOR Risk Measurement Of Commercial Bank In China

Along with the liberalization of interest rate of our country, the fluctuating of interest rate becomes more intense and the risk of interest rate becomes one of the major risks of financial market gradually. The risk management of interest rate is more and more important to each commercial bank. How to forecast interest rate efficiently and how to measure the risk of interest rate have been increasingly important. After studying the research of domestic and foreign scholars on interest rate risk management, this paper uses GARCH models and VaR model to forecast interest rate and measure interest rate risk.This paper analyzes the cause and manifestation of interest rate risk and elaborates the previous theory and method of the management of interest rate risk firstly. Then, this paper makes China inter-bank offered rates (CHIBOR) as research subject and draws GARCH models and VaR model which is recommended by Basel Accord into the forecasting and risk management of CHIBOR. Through analysis and comparison among the GARCH models, this paper selects EGARCH (1,3) model which can efficiently describe lever effect on interest rate market to forecast CHIBOR and gets good result. At the same time, we find the lever parameter is plus. It illustrates that affirmative impact can make more intense fluctuation than negative impact on CHIBOR market. The result also certificate that our CHIBOR market is not mature. This paper draws VaR model into the measure of CHIBOR risk and selects component—normality VaR model of analysis method and Monte Carlo simulation method of VaR to make positive analysis. We find the result of Monte Carlo simulation method is better through analysis. The result also confirms that the feasibility of VaR methods on CHIBOR market.