摘要
采用利率敏感性缺口模型中的利率敏感性缺口、缺口率、利率敏感性比率和利率敏感性比率偏离度四个指标,对我国14家上市银行2006年和2007年的利率风险管理情况进行分析。结果显示:近年来我国商业银行利用利率敏感性缺口模型对利率风险进行了较有效的管理,但1年以上资产、负债的匹配上失衡现象严重,利率敏感性缺口的调整滞后于利率变化趋势;我国传统国有大型商业银行的利率风险管理,落后于新兴的股份制商业银行。
The interest rate risk management situation of China＇s 14 listed banks in 2006 and 2007 was analyzed by using interest rate sensitivity gap, the gap rate, the interest rate sensitivity rate and interest rate sensitivity deviation of the interest rate sensitivity gap model. The results showed that： in recent years, China＇s commercial banks have achieved an effective risk management by making use of the interest rate sensitivity gap model. However, it＇s quite serious that there are still many commercial banks which have imbalanced match of assets and liabilities over more than one year; and the adjustment of interest rate sensitivity gap fell behind the trend that interest rate changes; the interest rate risk management of China＇s traditional large state-owned commercial banks fell behind that of the joint-stock commercial banks.
出处
《改革与战略》
北大核心
2009年第4期75-79,共5页
Reformation & Strategy
关键词
商业银行
利率风险
利率敏感性缺口
利率敏感性比率
commercial banks
interest rate risk
interest rate sensitivity gap
interest rate sensitivity
