YAN Jiajia，etc：Hong Kong Offshore RMB Interbank Interest Rate Risk Measurement Research ——Based on the Analysis of AR-GARCH-POT Method

Abstract：Combining the Extreme Value theory and AR-GARCH model, the paper measures risk value of the Hong Kong offshore RMB interbank offered rate(CNH Hibor) in different periods, comparatively studies Dollar London interbank offered rate(USD Libor) and infers the future development trend of CNH Hibor.The result shows that Hong Kong offshore RMB interbank offered market is still at the initial stage of the development of the offshore market international currency.The future of the overall risk will be reduced and the risk value will increase with the extension.Accordingly, some targeted policy recommendations are suggested for the development of Hong Kong's offshore RMB market.

Key words： Extreme Value Theory    AR-GARCH Model    CNH Hibor    USD Libor

source:Finance & Trade Economics ,No.6,2015