摘要
风险防控是金融工作的永恒主题,作为商业银行全面风险管理体系下的特定险种,银行账簿利率风险在2020年前后的西方银行危机中再次引发业界与学界广泛关注。本文以分析硅谷银行倒闭成因、系统性梳理银行账簿利率风险现行监管规则中关于无到期日存款沉淀期限相关要求、解读核心概念等研究工作为基础,构建多个沉淀期限及沉淀率模型并进行多模态比较,以2015至2025年中国商业银行月度数据为样本,选取代表性模型实证研究了无到期日存款沉淀率及沉淀期限。研究表明,无到期日存款稳定性较强是我国商业银行的共同特点,其中大型商业银行无到期日存款稳定性较中小银行更强;相同监管规则约束条件下,选取不同建模方法对沉淀期限及利率风险指标计量结果将带来显著差异。结合实证研究成果,本文建议国际监管规则进一步强化对数据与模型的标准化要求,确保被监管对象计量结果的一致性与可比性;商业银行应严格比照监管政策打牢风险识别与计量基础的同时,坚守稳健经营底线,持续关注无到期日存款变化带来的利率风险及流动性风险约束,积极应对风险挑战。
As a specific type of risk under the comprehensive risk management system of commercial banks,IRRBB has attracted widespread attention from the industry and academia during the Western banking crisis around 2020.By analyzing the collapse of Silicon Valley Bank,this paper depicts the current regulatory rules on IRRBB regarding the sedimentation period of NMDs,constructs multiple models based on data types for multi-modal comparison,and selects representative models to conduct empirical research.Research has shown that the strong stability of NMDs is a common characteristic of the sample banks studied;NMDs of large commercial banks have stronger stability comparing with small or medium sized banks.Under the regulatory constraints,selecting different modeling methods results in significant differences in the measurement of sedimentation period and interest rate risk indicators.It is recommended that regulatory policies further strengthen international rules or provide clear guidance on modeling methods,to enhance the comparability of model outputs from regulated objects;at the policy implementation level,promoting differentiated regulatory,implement classified management based on the heterogeneous risk characteristics of different groups of banks.
作者
燕汝佳
郑晓亚
金鹤
王磊
YAN Rujia;ZHENG Xiaoya;JIN He;WANG Lei
出处
《中央财经大学学报》
北大核心
2025年第8期126-141,共16页
Journal of Central University of Finance & Economics
基金
国家自然科学基金青年项目“交易者异质性、利率非理性波动与央行利率走廊机制建设”(项目编号:71703165)。
关键词
无到期日存款
差异化金融监管
风险计量
银行账簿利率风险
核心存款
Differentiated financial regulation
Risk measurement
Interest rate risk of banking book(IRRBB)
Non-maturity deposit(NMD)
Core deposit
