利率市场化下工商银行利率风险研究——基于GARCH-VaR模型摘要我国自2015年以来，央行进一步放开存款利率的限制，自此以后，我国开始推行市场化改革，我国商业银行风险受到这项改革的显著影响，如果情况严重的话甚至会直接导致银行破产。通过对现下仅有的文献的进行梳理后发现，发现从缩小存贷款利率差额、加剧了市场竞争力、增多系统性风险这三方面对我国的商业银行风险产生不同程度的影响。利率市场化改革给我国带来较大机遇的同时，也为我国带来了不同程度的挑战。在国内，政府长期以来对商业银行利率进行有效管制，国有股份所占比例相对较高，在抵御风险这一方面存在一定的局限性。首先导致商业银行长期以来的传统盈利方式受到猛烈冲击，从而引起多方面经营风险问题发生，例如加剧利率的风险、道德的风险，进一步挑战银行风险评估能力，使得银行加大经营风险。其次，利率改革导致银行提高了自主盈利的能力、进一步加快转变了盈利模式，从而使得经营效率得到提高。随着改革的不断深入，利率市场化机制得到了进一步的完善，取得较好的成绩。在本文中，笔者针对国内商业银行利率在利率化市场这一背景下发生的转变，展开了深入研究与分析，将工商银行隔夜拆借利率作为本文研究目标，采取GARCH-VaR这一模型对国内商业银行利率风险真实水平进行有效测算，希望能为我国商业银行风险利率管理方面做出一定学术贡献。关键词：利率市场化利率风险GARCH-VaR模型商业银行StudyOnInterestRateRiskOfIcbcUnderInterestRateLiberalization——BasedonGARCH-VaRModelABSTRACTSince2015,China'scentralbankhasfurtherliberalizedtherestrictionofdepositinterestrate.Sincethen,China'sinterestrateliberalizationreformhasofficiallystarted.ThisreformhasaffectedtherisksofChina'scommercialBanksinmanywaysandtovaryingdegrees.Ifthesituationisserious,itwillevendirectlyleadtothebankruptcyoftheBanks.Bycombingthroughtheonlyexistingliterature,itisfoundthattherisksofChina'scommercialBanksareaffectedtovaryingdegreesfromthreeaspects:narrowingthegapbetweendepositandloaninterestrates,intensifyingmarketcompetitiveness,andincreasingsystemicrisks.Interestrateliberalizationisalsoadouble-edgedsword.Thisreformisbothanopportunityandachallenge.AstheinterestrateofChina'scommercialBankshasbeenunderthecontrolofthegovernmentforalongtime,thestate-ownedsharesaccountforahigherproportion,andtheabilitytoresistrisksisinsufficient.Ontheonehand,thetraditionalprofitmodeofcommercialBankshasbeenseverelyimpactedforalongtime,whichleadstotheoccurrenceofvariousoperationalrisks,suchastheriskofincreasinginterestrateandmoralhazard,whichfurtherchallengestheriskassessmentabilityofBanksandmakesthemincreaseoperationalrisks.Ontheotherhand,theinterestratereformalsoenablesthebanktoimprovetheabilityofmakingprofitsindependentlyandfurtheracceleratethetransformationoftheprofitmodel,thusimprovingtheoperatingefficiency.Withthedeepeningofthereform,wehaveimprovedtheinterestrateliberalizationmechanismandachievedgoodresults.Thepaperexplorestheunderthebackgroundofmarket-orientedinterestratethechangeofinterestrateriskofcommercialbankinourcountry,industrialandcommercialbankofselectingovernightinterestratesasempiricalresearchobject,usingGARCH-VaRmodeltomeasurethereallevelofourcountrycommercialbankinterestraterisk,hopingtoourcountrycommercialbankinterestrateriskmanagementcertainacademiccontribution.Keywords：InterestrateliberalizationInterestrateriskGARCH-VaRmodelCommercialBanks目录...................................................................4.................................................4....................................................4.................................
