Study of Interest Rate Risk Measurement Based on VAR Method

摘要：

　　Interest rate guides financial resources to effectively flow and allocate, which prompt economic structure adjusting and economic development.Risk-measurement of interest rate is the basis of the risk management.Thus, accurately measuring interest rate risk is extremely significant.Based on the inter-bank bond repurchase rate as the target, this paper uses value at risk (VAR) to quantify interest rate risk, and use adjusted-historical simulation to compute VAR.Finally failure rate is applied to verify the validity of VAR.The result shows that VAR can effectively measure interest rate risk and restrains the possible highest fluctuation of interest rate, real change of repurchase rate has a greater influence on the fluctuation of VAR.VAR can help risk manager forecast the trend of interest rate and avoid the risk by derivative instruments of interest rate.

关键词： Interest rate risk VAR Adjusted-historical simulation

作者: Feihang Wang Li Zhang Feiting Wang

作者单位: Lanzhou University of Technology, China School of Economics and Management, Lanzhou University of Technology, China

会议类型: 国际会议

会议名称: The Thirteenth Wuhan International Conference on E-Business(第十三届武汉电子商务国际会议)(WHICEB2014)

会议地点: 武汉

会议语种:英文

页码: 680-684

在线出版日期: 2014-05-31（万方平台首次上网日期，不代表论文的发表时间）