A Study Of Interest Rate Risk Of Commercial Banks Based On Var Model

With the continuous advance of the process of marketization of interest rates, interest rate risk management has become a research topic that economic and financial areas are concerned with. With the deepening of the marketization of interest rates, the interest rate volatility has become increasingly frequent. Because the overall interest rate risk management awareness China’s commercial banks is still low, and interest rate risk management mechanism construction is lagged behind, interest rate risk has been disclotosing. Therefore, the effective measurement and management of commercial bank’s interest rate risk is particularly necessary.This paper uses VaR model as the interest rate risk management research method, and selects the overnight offered rate series data of Chibor and Shibor to build the most fitted ARMA-TARCH model to measure the VaR of interest rate risk commercial banks. We found that:(1) ARMA (1,2)-TARCH (1,2)-GED model effectively fits Chibor overnight offered rate, and ARMA (1,2)-TARCH (2,1)-GED model effectively fits Chibor overnight offered rate;(2) t distribution can not effectively fit Chibor and Shibor overnight offered rate, but Generalized Error Distribution can effectively fit Chibor and Shibor overnight offered rate;(3) Chibor is the granger cause of Shibor;(4) there is low interest rate risk in China Interbank Offered Market and Shanghai Interbank Offered Market, and due to the credit level and many other factors, there is a frequent volatility and a great interest rate risk in the overnight offered rate ofChibor.Based on the empirical analysis, it helps us to optimize the interest rate risk management policy to improve the level of interest rate risk management and build a comprehensive interest rate risk management mechanism.