CAJ | 학술논문

短端shibor已在中国市场发挥基准利率作用，越来越多与之挂钩的金融产品被开发和交易，有效度量和管理shibor风险，对微观金融主体非常重要。本文运用AR（2）-TARCH（1，1）模型成功解释和过滤了Shibor收益率存在的序列相关和非对称性条件异方差现象，运用EvT方法得到动态的V水和CVaR并验证它们是有效的。通过对历史趋势的分析，发现Shibor风险表现出先波动下降后波动上升再波动下降的特征，且央行频繁上调基准利率的阶段风险放大，而央行频繁下周基准利率的阶段风险缩小。
단단shibor이재중국시장발휘기준리솔작용，월래월다여지괘구적금융산품피개발화교역，유효도량화관리shibor풍험，대미관금융주체비상중요。본문운용AR（2）-TARCH（1，1）모형성공해석화과려료Shibor수익솔존재적서렬상관화비대칭성조건이방차현상，운용EvT방법득도동태적V수화CVaR병험증타문시유효적。통과대역사추세적분석，발현Shibor풍험표현출선파동하강후파동상승재파동하강적특정，차앙행빈번상조기준리솔적계단풍험방대，이앙행빈번하주기준리솔적계단풍험축소。
As short - term Shibor has been playing the role as China＇s benchmark interest rate, it becomes more and more important to measure and manage risks based on Shibor. This paper firstly builds AR （2） -TARCH （1, 1 ） model to characterize Shibor＇s serial correlation and volatility cluster and then applies EVT to calculating VaR and CVaR to measure Shibor＇s dynamic risk. Empirically, Shibor＇s risk increases when central bank raises interest rate and decreases on the contray.