基于GARCH-VaR模型的商业银行市场风险度量——以贵阳银行为例

Measurement of Commercial Banks’ Market Risk Based on the GARCH-VaR Model—Taking Bank of Guiyang as an Example

摘要: 随着金融体系的快速发展，商业银行作为金融体系中的重要组成部分，在推动整个行业稳定运行和发展的同时，面临更多的风险和挑战。市场风险已经成为商业银行面临的主要风险，本文以贵阳银行为例，采用贵阳银行每日收盘价数据建立股票价格的日对数收益率序列，根据金融时间序列的波动性和异方差性特征，以GARCH模型为基础建立反映其股价变化的波动率模型，计算VaR值。研究结果表明贵阳银行的VaR值高达0.216629，说明贵阳银行收益率在95%的置信水平上损失极限为资产市场价值的21.66%，面临着较大的市场风险。因此，贵阳银行应该采取相应的措施管理和应对面临的市场风险，确保银行的稳健运营和持续发展。

Abstract: With the rapid development of the financial system, commercial banks, as an important part of the financial system, are promoting the stable operation and development of the entire industry while facing more risks and challenges. Market risk has become the main risk faced by commercial banks. Taking Bank of Guiyang as an example, this paper uses the daily closing price data of Bank of Guiyang to establish a daily logarithmic return rate sequence of stock prices. According to the volatility and heteroscedasticity characteristics of financial time series, a volatility model reflecting its stock price changes is established based on the GARCH model to calculate the VaR value. The research results show that the VaR value of Bank of Guiyang is as high as 0.216629, indicating that the loss limit of the return rate of Bank of Guiyang is 21.66% of the market value of assets at the 95% confidence level, and it is facing relatively large market risks. Therefore, Bank of Guiyang should take corresponding measures to manage and deal with the market risks it faces to ensure the stable operation and sustainable development of the bank.