商业银行利率风险识别实证研究被引量：27

An Empirical Analysis of Interest Rate Risk of Commercial Banks

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摘要随着利率市场化的推进,监管要求的提升,中国商业银行迫切需要提高利率风险管理水平,建立风险管理机制。利率风险管理包括利率风险的识别、测量、监视和控制。本文以商业银行实际数据为基础,运用重定价缺口、持续期缺口、情景模拟、风险值等常用测量方法,对中国商业银行面临的利率风险进行了一个初步测量,作为国内商业银行利率风险形式与来源的识别。本文的主要结论是,一从风险形式看,净利息收入波动是商业银行利率风险的主要形式;二从风险来源看,基本点风险和重定价风险是商业银行利率风险的主要来源;三是从风险因子看,央行基准利率是利率风险主要的因子,银行净和息收入对基准利率敏感性的不一致程度决定着银行利率风险的主要结构。 To face the market - based interest reforming and regulation strengthening, China＇ s commercial banks Should improve their interest rate risk management. The paper studies the interest rate risk through a case by using some standard interest rate risk measurement approach, such as reprising gap, duration gap, scenario simulation and VaR. Finally, four conclusions in the paper. First, NII varying is identified as the main interest rate risk effect. Second, basis risk and reprising risk are identified as the main sources of interest rote risk. Third, deposit rate and loan rate are identified as the main risk factor. So the basis risk is mainly caused by the difference between asset and liability to the risk factor.

作者郭奔宇

机构地区招商银行总行计划资金部

出处《金融研究》 CSSCI 北大核心 2005年第11期62-73,共12页 Journal of Financial Research

关键词利率风险商业银行实证研究 interest rate risk, commercial bank, empirical analysis.

分类号 F830.4 [经济管理—金融学]

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参考文献33

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