Study On The Measuring Of Interest Rate Risk Based On VaR Model As The Example Of Inter-bank Market Bond Pledged Repo Rate

With the further deepening of our country’s financial reform, the interest ratemarket has become an irreversible trend. Interest rate risk is becoming one of the mostimportant market risk the commercial banks of our country are facing, and interestrate risk management has also become the main content of Our country’s commercialbanks’ risk management.Due to the interest rate market reform in our country is too late, implement of therisk management of commercial banks are still focusing on the management of creditrisk, do not attach importance to the management of interest rate risk. interest rate riskmanagement methods are very old, commonly used is the “gap management”,“sensitivity analysis”and other simple management tools. There is no interest raterisk management and effective measuring system. Therefore, how to prevent anddefuse the interest rate risk, as well as how to measure interest rate risk, is animportant problem commercial banks of our country are facing.VaR method as a new risk management tools in the international arena has beenwidely used to measure market risk, performance assessment and regulation ofinformation disclosure. Commercial banks can calculate the VaR to measure the sizeof the risks of changes in interest rates, effective evaluation of interest rate risk. Withthe national situation, and learn from foreign advanced VaR management approach,risk measurement methods and management concepts, in order to explore the interestrate risk management system in line with our practice, China’s commercial banks toimprove risk management, enhance the management level, to resolve and financialrisks, improve the operating efficiency of commercial banks, to protect the securityand stability of China’s financial industry has a very important practical significance.The paper introduced the Value at Risk VaR model (also known as VaR model),analyzed the rare risk as the example of the inter-bank market bond collateral reporate. Attempt to explore the feasibility of the application of Value at Risk VaR inChina’s commercial banks to interest rate risk measure. inter-bank borrowing rate for the sample variables，the application of VaR model toempirical analysis. The analysis concluded that:(1) common foreign based on the Ndistirbution, normal distirbution of the GARCH model in the parameters of ourinterest rate irsk VaR calculation failure, the need to constantly try to find the sampledistirbution of China’s actual situation is calculated，you can not blindly copy other’s.(2) the distirbution process from the empirical point of view, based on the GEDparameters AR (l)-GARCH (1’,2) model is suitable for Chinas inter-bank marketbond pledged repo interest rate VaR calculation. Levy choose should be based ondifferent samples of commercial banks to other irsk using VaR methodology tomeasure the different GARCH model calculation.(3) Commercial banks in Chinamust speed up the application of the VaR model，the bank interest rate riskmanagement capabilities. Finally the fitfh chapter gives three aspects of proposal (1)the establishment of scientific interest rate irsk management system. Including theformation of a centralized head office regulatory regime and a clear division ofmanagement responsibilities.(2) to enhance the training and the introduction ofprofessionals.(3) improve the database construction.