Study of Interest Rate Risk Measurement Based on VAR Method
نویسندگان
چکیده
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.
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