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The Application of VaR Model in Interest Rate Risk Management of Commercial Banks in China

机译：VAR模型在中国商业银行利率风险管理中的应用

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摘要

With the reform of interest rate liberalization in China, the main risks of commercial Banks in China are gradually turned into interest rate risks. However, at present, China's commercial Banks are not aware of the risk of interest rate, avoid problems such as the lack of interest rate risk tools, and there are many risks such as repricing risk and base difference risk. Controlling interest rate risk becomes the main content of risk management of commercial Banks. This article selects 2010-2016 Shanghai overnight interest rates in the interbank market to simulate variable market interest rate, our country commercial bank interest rate risk value for empirical research, and to our country commercial bank interest rate risk management puts forward the corresponding Suggestions.
机译：随着中国利率自由化的改革，中国商业银行的主要风险逐渐变成了利率风险。但是，目前，中国的商业银行并不意识到利率的风险，避免缺乏利率风险工具等问题，并且有许多风险和基本差异风险等风险。控制利率风险成为商业银行风险管理的主要内容。本文选择2010-2016上海银行间市场的隔夜利率模拟可变市场利率，我国商业银行利率的实证研究，以及我国商业银行利率风险管理提出了相应的建议。

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