CAJ | 학술논문

随着中国利率市场化进程的深化,利率风险将越来越大,同时上海银行间同业拆放利率将逐步成为中国的基准利率体系。在构建上海银行间同业拆放利率期限结构动态模型的基础上,首先利用风险值模型度量上海银行间同业拆放利率的风险值,然后进行后验检验,再利用期望损失模型度量上海银行间同业拆放利率的风险值,并对上海银行间同业拆放利率风险度量的风险值方法和期望损失方法进行比较分析。研究结果表明,无论从动态拟合效果,还是从风险度量的后验检验看,GED分布都优于正态分布和t分布,适合用于刻画上海银行间同业拆放利率序列的分布;上海银行间同业拆放利率序列具有均值回复特征和反杠杆效应;当风险值模型不能有效测度上海银行间同业拆放利率风险时,期望损失模型能部分克服风险值模型的不足,能有效测度实际损失风险。总的说来,APARCH-GED-VaR-ES模型可以较为准确地测度上海银行间同业拆放利率风险。
수착중국리솔시장화진정적심화,리솔풍험장월래월대,동시상해은행간동업탁방리솔장축보성위중국적기준리솔체계。재구건상해은행간동업탁방리솔기한결구동태모형적기출상,수선이용풍험치모형도량상해은행간동업탁방리솔적풍험치,연후진행후험검험,재이용기망손실모형도량상해은행간동업탁방리솔적풍험치,병대상해은행간동업탁방리솔풍험도량적풍험치방법화기망손실방법진행비교분석。연구결과표명,무론종동태의합효과,환시종풍험도량적후험검험간,GED분포도우우정태분포화t분포,괄합용우각화상해은행간동업탁방리솔서렬적분포;상해은행간동업탁방리솔서렬구유균치회복특정화반강간효응;당풍험치모형불능유효측도상해은행간동업탁방리솔풍험시,기망손실모형능부분극복풍험치모형적불족,능유효측도실제손실풍험。총적설래,APARCH-GED-VaR-ES모형가이교위준학지측도상해은행간동업탁방리솔풍험。
With the constant deepening of Chinese market-oriented interest rates,China will have to deal with an increasing interest rate risk,and at the same time Shanghai interbank offered rate（Shibor） will gradually become the benchmark system of interest rate.Based on the dynamic term structure models of Shibor,value at risk（VaR） model,posteriori test,and Expected Shortfall（ES） model were used to measure the risk of Shibor,and then a comparative analysis for VaR method and ES method was given.Finally the following conclusions were mainly drawn out.First,whether according to the dynamic fitting results or the posteriori tests for risk measures,General error distribution（GED） is more suitable for characterizing the distribution of China′s Shibor sequence than the distribution of Normal and t.Second,the series of Shibor has mean-reversion characteristic and the reverse lever effect.Third,when the VaR model fails to measure effectively the risk of Shibor,the ES model can partially overcome the deficiency of the VaR model and can effectively measure the real risk of loss.Generally speaking,the APARCH（1,1）-GED-VaR-ES model can estimate accurately the risk of Shibor.