Shanghai Interbank Interest Rate Risk Measurement

Commercial banks are the core of modern financial industry, operates various financial services, which is hidden behind the growing prosperity of certain market risk, commercial bank risk is one of the main risks of the current financial market presence. Commercial interbank offered rate and monetary policy are closely related, to some extent, it reflects the shortage of money and adequate funding.In the early development of the financial market, the immature market their own development, imperfect economic system, capacity allocation of resources is limited, so for tighter controls on financial markets. The past two years due to shortage of money funds, China’s loose monetary policy, the central bank frequently adjusted deposit and lending rates, leading to fluctuations in interest rates is increasing the frequency and amplitude. Commercial banks are the money circulating in the market carrier, fluctuations in interest rates for commercial banks to bring a certain amount of risk. In order to keep long-term stable development of commercial banks and business conditions, the management of interest rate risk is imperative. Aiming SHIBOR overnight logarithmic return series GARCH models to establish a model, select the optimal model by screening guidelines. On the optimal model uses VaR risk measurement model, backtesting Finally Kupiec test results calculated to test, verify that the model is reasonable. VaR is the result of the Basel Committee approved risk measurement methods, currently used in the international arena is the most extensive. It is a measurement of risk to get promotion after a series of feasibility studies and empirical verification on the basis of China’s commercial banks also took Discussion of Financial Risk Measurement using this method is feasible prospect.Concluded in accordance with the above analysis of the conclusions of this study, the presence of insufficient paper self-reflection, to bring hope through this research to commercial banks risk management can bring substantive recommendations and anticipates the prospect of interest rate risk management.