There is a great significance to research the interest rate risk based on the method of value at risk on the background of Chinapsilas gradual marketization of interest rates. The paper takes the overnight shibor as the target. First, introduce the calculating method for value at risk. Second, give the sample characters and the dynamic model of the yield rate of the overnight shibor. Third, using the GARCH and EGARCH model, at 99% confidence level and 95% confidence level, calculate the value at risk and the exception rate for the overnight shibor. The empirical results show that the value at risk of the overnight shibor has positive correlation with the level of interest rates, and whatever at 95% confidence level or at 99% confidence level, the EGARCH model is better than the GARCH model.