The Application Research On CVaR Used In The Short-term Interest Rates Risk Of Chinese Commercial Banks In Money Market

Commercial banks, as major participants in the financial industry, facing with the opportunities and challenges brought about by the interest rate market,urgent need to strengthen identification, controlling, measuring, managing interest rate risks,it's particularly important to use advanced scientific methods measuring the interest rate risk of commercial banks.The inter-bank money market,as the earliest of the interest rate marketization reform places, its rate varieties are the main compositions of market interest rate varieties in China, researching the volatility of interest rate also provide important data for monitoring the variety of the Central People's Bank of macro regulation and operation,and has important practical significance for the short-term interest rate risk management of commercial bank.First of all,this paper explores the research background and significance of the interest rate risk of commercial banks faced in the interbank money market,and sums up the research status at home and abroad.Besides it states the methods of how banks measured the risk of interest rate in the early time, and analyzing the feasibility of those methods.Secondly elaborates the basic principle and calculating methods of VaR and CVaR,the paper compares and concludes the advantages and disadvantages from the points of character and application of Va R and CVaR;based on the Normal distribution model and GED distribution model,constructs the GARCH models to calculate VaR and CVaR.Finally, by searching Shanghai interbank interest rates, PARCH-M-GED(1,1) is the most effective model to fit the short-term interest rate volatility of commercial banks; the GED distribution than the normal distribution is better fit the interest rate yield curve which is fat tail distribution.CVAR model can measure more wider range of interest rate risk than VAR model.