Based On The Var Model Of China's Commercial Banks Short-term Funds Interest Rate Risk

With the continuous deepening of the interest rate marketization reform of our country, the risk faced by the short-term funds of commercial banks is more and more highlighted.The core and precondition for commercial banks to enhance interest rate risk management and improve the ability of risk management, is to carry out efficient measurement of interest rate risk. At present, one of the most popular tool to measure risk in the world is VaR(Value at Risk),whose efficiency in interest rate risk measurement is better than the traditional Gap and Duration method. It is the method recommended by Basel agreement to measure risk.This paper expounds the reason and influence of the short-term funds interest rate risk of commercial banks, briefly compares relative theories about measurement of interest rate risk and principally introduces VaR method. Besides, the paper selects a series of data of the interbank offered rate during October, 2006 and March, 2009, makes positive research on the value at risk of the short-term funds interest rate of commercial banks of our country. The research makes conclusion that GED distribution preferably depicts the fat tail characteristic of the interbank interest rate series; The parameter analytical method of VaR based on EGARCH (2, 1) model preferably describes the dynamic and varying characteristic of the interbank offered rate and as a result, improves the exactness of VaR calculation and controls the risk measurement well. The paper suggests commercial banks intersify application of VaR on interst rate risk management during the process of interest rate marketization, actively participate in the interbank offered market, in order to perfect the control and management of interest rate risk.