商业银行利率风险测度方法的现实选择——Fisher-Weil久期模型的应用  

Fisher-Weil Duration Model and Its Application in Interest Rate Risk Management of China's Commercial Banks

作　　者：邓黎阳[1] 孙刚[1] 

机构地区：[1]东北财经大学金融学院

出　　处：《国际金融研究》2005年第12期4-11,共8页Studies of International Finance

摘　　要：利率市场化改革的推进使利率风险管理的重要性在我国商业银行管理中日益突出。本文总结分析了久期(duration)模型及其相关方法的理论沿革,着重指出了 Fisher-Weil久期模型在我国商业银行的适用性、应用角度、难点和相应管理理念的实现途径,提出了较为可行的解决方案,以期提高我国商业银行的利率风险管理能力。Interest rate risk management in China＇s commercial banks is of great importance in the accelerated process of interest rate marketization. This paper summarizes and analyses the development of duration model theory, and points out emphatically the applicability of Fisher-Weil duration model to China＇s commercial banks. It also discusses the means, difficulties and approaches to realize the corresponding management thought when applying this model, to enhance China＇s commercial banks＇ management of interest rate risk.

关 键 词：Fisher-Weil久期模型 利率风险管理 收益率曲线 

分 类 号：F831[经济管理—金融学]