摘要
在金融自由化和利率市场化的浪潮下,商业银行所面临的利率风险防范问题日益突出。利率风险管理成为商业银行经营管理中极其重要的环节。马考勒存续期缺口管理是现代西方商业银行的主要风险管理手段之一,合理构造存续期缺口可使商业银行净值不受市场利率影响,而流量比例调整可以克服存续期缺口受制于利率变动的不足,综合利用存续期缺口管理对我国商业银行建立风险管理机制起着重要的作用。
The finance liberalizing and the interest rates marketing have brought much risk to the commercial banks.The risk managements,especially the interest risk managements play an important role in the commercial bank managements.And,the Macaulay Duration gap managements are the main approach in various interest management measures.Appropriate construction of duration gap can free net worth from interest alteration.With flux ration adjustments,the duration gap can even jump the traces of interests.So,integrating the duration gap managements with the flux ration adjustments into the risk managements is essential to commercial banks of China.
出处
《武汉理工大学学报（社会科学版）》
2003年第5期524-527,共4页
Journal of Wuhan University of Technology:Social Sciences Edition
关键词
利率风险管理
存续期缺口管理
流量比例调整
the interest risk management
the duration gap management
the flux ratio adjustment
