基于CAViaR模型的银行间质押回购利率风险研究

摘要

Value at Risk is widely used in commercial bank interest rate risk management, but domestic commercial banks are still confined to use parameter method (the family of GARCH) and the historical simulation method to calculate the Value at Risk at present. Based on the overnight repo rate as the research object, this paper study the pledged repo operation law and wave characteristics of interest rate risk by constructing CAViaR risk measurement model. The results found that, CAViaR model can better depict the risk prediction effect of pledged repo rate risk. Based on the back test results found that, AS model is the optimal model in estimating China pledged repo rate risk. In addition, based on the overnight repo rate from 2006 to 2014 in VaR value analysis, this paper confirms the CAViaR model can better fitting of monetary market rate changes and the size of interest rate risk.%“在险价值”管理方法在商业银行利率风险管理中被广泛应用，但目前国内商业银行在计算“在险价值”时仍局限于参数方法(GARCH族模型)和历史模拟法。以隔夜质押回购利率作为研究对象，构建基于CAViaR的质押回购利率风险计量模型，研究质押回购利率风险的运行规律和波动特征。研究结果发现，CAViaR模型的风险预测效果能够较好地刻画质押回购利率的利率风险。基于后测检验结果发现，AS模型在估计我国质押回购利率风险时表现最优。此外，基于2006—2014年隔夜回购利率VaR值变化趋势的分析，证实了CAViaR模型能够较好地拟合货币市场利率变化情况及其利率风险的大小。