基于动态VaR模型的我国银行间拆借市场风险度量研究

本文介绍了一种基于GARCH和非参数法的动态VaR模型——L_VaR模型,用来度量市场风险与流动性风险两者综合风险的大小。并通过采样我国银行间隔夜拆借的高频交易数据,以及SAS软件的数据处理分析发现,GARCH（1,1）模型能较好地拟合隔夜拆借利率的波动情况,而非参数估计法（Boot- strap）能较准确地估计拆借市场流动性的波动水平。实证结果表明。基于动态VaR模型对于市场风险与流动性风险两者综合风险的短期预测效果较为理想。

Research on Risk Measurement of Inter-bank Bid & Offer based on a Dynamic VaR Model

This article introduces a new dynamic value at risk model(VaR)based on GARCH model and Nonpara- metric approach ,an effective tool for measuring market risk and liquidity risk.And we made a case study on China inter- bank funding market risk using this method.The high fre- quency data are processed through SAS.Our empirical re- sults show that there is much improvement for the accuracy of risk forecasting in the funding market with the dynamic VaR method.