Measurement Of Interest Rate Risk Of Chinese Commercial Banks And Empirical Research Based On VaR Model

After China’s entry into the WTO, the world economic integrationprocess of aggravating brings opportunities and challenges for many ofChina’s socialist market economy healthy and steady development. Amongthem, the substantive transformation of the marketization of interestrate will impact on the financial institutions, including banks. Underthe condition of liberalization of interest rates, efficiency of fundoperation is greatly improved, followed with the problem of how to resistthe interest rate risk.In our country, the interbank offered rate was unlocked in1996.After more than ten years of development, it has become an interest ratesystem which has higher degree of marketization, scientific and completeset structure. The interbank offered rate plays a role cannot be ignoredin banks’ reserve payment, in bills clearing and working funds,indicating that China’s interest rate market has achieved certainresults. With the Financial Sector Development and Reform "12thFive-Year" Plan for the gradual implementation of market-orientedinterest rate further, will undoubtedly spread income of commercialbanks in the short term some impact, but the long-term point of view,but also require commercial banks to strengthen control pricing basedon financial innovation and the management and control of risk, andtherefore need to choose a scientific and effective the operable interest rate risk management approach.In this paper, after the comparison of three interest rate riskmanagement methods, VaR (Value-at-Risk) model is chosen to do empiricalresearch on the overnight rate data of Shanghai interbank offered market,to make predictions of interbank offered rate’s VaR value, in order tomake a substantial contribution to the interest rate risk management ofcommercial banks in China. This paper is divided into five parts, andthe concrete structure is as follows:The first chapter is the introduction, mainly elaborates thebackground and significance of selected topic, the related literaturedomestic and abroad is summarized, mainly explains the research methods,innovations and deficiencies. The second chapter explains the maincauses of commercial bank interest rate risk, interest rate risk isclassified, then introduces and evaluates the repricing method ofinterest rate risk management methods. In the third chapter, the basicidea, the main principle and calculation methods of VaR method areintroduced, and the advantages of this method in the risk management ofinterest rate are emphasized. The fourth chapter is the empiricalresearch, using Eviews software combined with GARCH model to analyze thedata, and carries on the back test, to select the optimal fitting modelto estimate the value of VaR, and puts forward some suggestions to improvethe management of interest rate risk. The fifth part is the conclusionto make a summary of the results of this study.