基于利率、汇率、股价联动性商业银行市场风险综合度量的阶段性研究.docx

基于利率、汇率、股价联动性商业银行市场风险综合度量的阶段性研究
摘要
随着全球化不断加深，商业银行的市场风险管理愈加重要。本文基于利率、汇率、股价的联动性，针对商业银行市场风险从整体风险程度和不同风险类型的角度进行研究。研究结果表明，商业银行市场风险受到利率、汇率、股价的影响，呈现出明显的阶段性变化。因此，商业银行应根据市场走势及时进行风险管理，以规避市场风险。
关键词：商业银行；市场风险；联动性；利率；汇率；股价
Abstract
Withthedeepeningofglobalization,marketriskmanagementofcommercialbankshasbecomeincreasinglyimportant.Basedonthelinkageofinterestrates,exchangerates,andstockprices,thispaperstudiestheoverallrisklevelanddifferenttypesofmarketrisksofcommercialbanks.Theresultsshowthatmarketriskofcommercialbanksisinfluencedbyinterestrates,exchangerates,andstockpricesandexhibitsobviousperiodicchanges.Therefore,commercialbanksshouldconductriskmanagementinatimelymanneraccordingtomarkettrendstoavoidmarketrisk.
Keywords:CommercialBanks,MarketRisk,Linkage,InterestRates,ExchangeRates,StockPrices
1.Introduction
Asanimportantparticipantinthefinancialmarket,commercialbanksbearvariousmarketrisks,includinginterestraterisk,foreignexchangerisk,creditrisk,andoperationalrisk.Amongthem,marketriskisthemostcommonandinevitable.Sincetheglobalfinancialcrisis,thefinancialmarkethasbecomeincreasinglycomplexandvolatile,makingmarketriskmanagementofcommercialbanksmoreimportant.Inordertoeffectivelymeasureandmanagemarketrisk,itisnecessarytostudythelinkagebetweendifferentmarketfactorsandtheirimpactonmarketrisk.Thispaperfocusesonthelinkageofinterestrates,exchangerates,andstockpricesandtheirimpactonmarketriskofcommercialbanks.
2.LiteratureReview
Previousresearchhasfocusedonthemeasurementandmanagementofmarketriskofcommercialbanks.Forexample,Davydovetal.(2016)proposedacomprehensivemethodologyformeasuringmarketriskbasedonValueatRisk(VaR)andConditionalValueatRisk(CVaR),andappliedittoasampleofRussiancommercialbanks.Liuetal.(2017)exploredthejointestimationofmarketriskandliquidityriskofcommercialbanksbasedonadynamicconditionalcorrelationmodel.Zhangetal.(2018)studiedtheimpactofmarketriskontheprofitabilityandefficiencyofcommercialbanksinChinaandfoundthatmarketriskhasasignificantnegativeimpactonbankperformance.
3.Re