兰州大学机构库 >数学与统计学院
基于GARCH模型及VaR方法的同业拆借利率风险度量
Alternative TitleThe risk of the bank interest rate based on the GARCH type models and the VaR
张雄健
Thesis Advisor严定琪
2011-05-19
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword拆借利率 VaR GARCH模型 TARCH模型 波动率
Abstract同业拆借市场及时反映出资金供求的变化,有效地提高了金融资产的盈利水平,为金融机构提供了一种实现流动性的机制。同业拆借利率是货币市场的核心利率,是整个金融市场上具有代表性的利率。由于受多种因素的影响,金融领域存在较大的金融风险。 本文应用GARCH类模型以及VaR方法来度量风险,实证检验了银行间同业拆借市场利率风险,估计了序列的VaR值,从总体上对利率风险状况进行了分析,银行间同业拆借利率存在显著的非对称效应,利率的日收益率序列的分布存在尖峰厚尾的特征。从模型参数估计的结果来看,GARCH模型和TARCH模型的估计效果都比较好,由于利率市场存在杠杆效应,考虑了非对称情况的TARCH模型要优于GARCH模型。
Other AbstractInterbank market reflects the changes of supply and demand in a timely manner, effectively improving the profitability of financial assets for financial institutions,and provides a mechanism to achieve liquidity. Enter-bank rate is the nuclear interest rate in money market ,but also representative in the financial market. Due to many factors, the financial field there is a big financial risks. In this paper, the GARCH type models and the VaR approaches to measure the risk. This paper examines risk of the inter-bank interest rate and estimates value of the VaR , but also analyses the risk situation of interest rate . There is remarkable asymmetric effect of the interest rate in the market of interbank,distributions of the daily interest rate have leptokurtic and tail features. The consequence results from the model parameter estimation indicate that the estimated effect of GARCH model and TARCH model are better. Because the interest rate market has the leverage effect, taking into the TARCH model is better than the GARCH model.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225233
Collection数学与统计学院
Recommended Citation
GB/T 7714
张雄健. 基于GARCH模型及VaR方法的同业拆借利率风险度量[D]. 兰州. 兰州大学,2011.
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