CAJ | 학술논문

随着中国利率市场化改革的加速，利率市场的风险管理问题引发了广泛的关注，作为筹集短期流动性资金的主要工具，同业拆借利率（Shibor）逐渐成为各金融机构决策参考的基准利率。在传统的ARMA-GARCH模型的基础上，引入Hurst指数捕捉Shibor的分形特征，使用扩展后的ARFIMA-FIGARCH模型对Shibor的隔夜和7日利率收益率的VaR进行度量和回测检验。结果显示：隔夜和7日利率收益率都具有反持续性，即收益率过去是上升趋势，则未来倾向于下降；考虑分形特征的ARFIMA-FIGARCH模型，比原模型对Shibor的度量更准确；在同业拆借市场中，Ged分布是解释多头VaR的理想选择，而正态分布是解释空头VaR的理想选择。
수착중국리솔시장화개혁적가속，리솔시장적풍험관리문제인발료엄범적관주，작위주집단기류동성자금적주요공구，동업탁차리솔（Shibor）축점성위각금융궤구결책삼고적기준리솔。재전통적ARMA-GARCH모형적기출상，인입Hurst지수포착Shibor적분형특정，사용확전후적ARFIMA-FIGARCH모형대Shibor적격야화7일리솔수익솔적VaR진행도량화회측검험。결과현시：격야화7일리솔수익솔도구유반지속성，즉수익솔과거시상승추세，칙미래경향우하강；고필분형특정적ARFIMA-FIGARCH모형，비원모형대Shibor적도량경준학；재동업탁차시장중，Ged분포시해석다두VaR적이상선택，이정태분포시해석공두VaR적이상선택。
With the acceleration of China's market-oriented interest rate reform and the implementation of Basel III ,the risk management in interest market causes widespread concern .As the main tool to raise short-term liquidity ,Shanghai Interbank Offered Rate (Shibor ) has become the benchmark rate w hen financial institutions make decisions ,and is playing an increasingly important role .In this paper ,based on the traditional ARMA-GARCH model ,Hurst index is introduced to capture the fractal characteristics of Shibor ,the expanded ARFIMA-FIGARCH model is used to measure the risk of overnight and 1 week interest rates in Shanghai interbank market , and back-testing is performed for VaR constructed by different models .The results show that Shibor yields have fractal characteristics and anti-persistent ,which means today's earnings brings on tomorrow's losing ;Compared with the original one ,ARFIMA-FIGARCH model is more accurate measure of Shibor after consideration of fractal characteristics ;in the interbank market ,Ged distribution is an ideal choice for explaining long VaR ,and Normal distribution is an ideal choice for short VaR .