| 我国银行间债券回购市场利率风险的实证研究 |
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| 引用本文： | 严太华,谢瑞宝.我国银行间债券回购市场利率风险的实证研究[J].技术经济,2009,28(12):80-82. |
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| 作者姓名： | 严太华 谢瑞宝 |
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| 作者单位： | 重庆大学,经济与工商管理学院,重庆,400044 |
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| 摘 要： | 为提高我国银行间债券回购市场利率风险测定的准确性和实用性,本文针对我国银行间债券回购市场隔夜回购利率进行了基本特征分析,探讨了如何利用混合正态分布对利率数据进行拟合并据此计算VaR;作为对比组,本文同时采用GARCH模型族对利率数据进行处理。实证结果表明:与GARCH模型族相比,混合正态分布拟合方法计算VaR在准确性和实用性方面均有所提高。
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| 关 键 词： | 利率风险 VaR GARCH模型 分布拟合 混合正态分布 |
A VaR-based Empirical Study on Interest Rate Risk of China's Inter-bank Bond Repurchase Market |
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| Yan Taihua,Xie Ruibao.A VaR-based Empirical Study on Interest Rate Risk of China's Inter-bank Bond Repurchase Market[J].Technology Economics,2009,28(12):80-82. |
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| Authors: | Yan Taihua Xie Ruibao |
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| Institution: | (School of Economics and Business Administration, Chongqing University, Chongqing 400044,China) |
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| Abstract: | In order to enhance the accuracy and the usefulness for measuring the interest rate risk of bond repurchase market in inter-bank, this paper analyzes the basic characteristics of overnight inter-bank bond repurchase rate, and discusses how to calculate VaR based on the mixednormal distribution fitting method. And it also uses the GARCH model to process the data on interest rate in order to contrast the acquired results based on the above method. The empirical results show that,compared with the results based on the GARCH model,the results based on the mixed-normal distribution fitting method have higher accuracy and practicality in calculating VaR. |
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| Keywords: | VaR |
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