| 基于t-Copula函数的商业银行同业拆借利率风险分析 |
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| 引用本文： | 华晓慧. 基于t-Copula函数的商业银行同业拆借利率风险分析[J]. 兰州商学院学报, 2009, 25(5): 111-116 |
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| 作者姓名： | 华晓慧 |
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| 作者单位： | 武汉理工大学,经济学院,湖北,武汉,430070;内蒙古财经学院,内蒙古,呼和浩特,010051 |
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| 摘 要： | 银行间同业拆借是我国利率市场化改革的前沿阵地。本文采用t-Copula函数构建反映IBO001和IBO007实际分布和相关性的联合分布函数,并使用蒙特卡罗模拟技术,分析在不同置信度与资产组成下的银行拆借组合的VaR。结果发现：在相同的显著水平下,随着IBO007在资产组合中的比重的提高,资产的整体风险也在不断增加;在显著水平为0.5%的情形下,随着IBO001在资产组合中的比重的增加,组合的整体风险反而越来越高,这与其它置信度的情形截然不同。
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| 关 键 词： | 同业拆借利率 风险 t-Copula vaR |
The Analysis of Commercial Bank Interbank of Fered Rate Risk Based on t- Copula Function |
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| Affiliation: | HUA Xiao - hui ( 1. School of Econmics, Wuhan University of Technology,Wuhan 430070 ; 2. Inner Mongolia Finance and Economies College, Huhhot 010051, China) |
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| Abstract: | Interban loan market is advance position of.our country interest rates liberalization reform. This article uses t - Copula function to construct joint distribution function which reflects actual distribution and the relevant of IBO001 and the IBO007, and uses Monte Carlo simulation to analyze interbank loan porffilio VaR under different fiduciary level and property composition. The conclusion discovers： Under the same fiduciary level, along with the proportion of IBO007 in portfolio is increasing, the overall portion of IBO001 in portfolio is increasing, the overall risk of porffilio is instead getting higher and higher, that is entirely different from other fiduciary levels. |
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| Keywords: | t-Copula vaR |
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