商业银行利率风险:基于久期缺口的免疫策略及实证分析  

Interest Risk of Commercial Bank: Immunization Strategies and Demonstration Analysis on the Basis of Duration Gap

作　　者：刘湘云[1] 唐娜[1] 

机构地区：[1]广东商学院金融学院,广东广州510320

出　　处：《南京航空航天大学学报（社会科学版）》2006年第3期38-41,53,共5页Journal of Nanjing University of Aeronautics & Astronautics（Social Sciences）

基　　金：广东省哲学社会科学规划资助项目(05E-04)

摘　　要：利率市场化程度的加深使得利率风险越来越成为影响商业银行绩效的主要风险。久期是一种常见的利率风险计量方法,通过分别计算商业银行总资产和总负债的久期来构建久期缺口模型;以此为基础提出商业银行利率风险免疫策略。实证分析表明:通过确立目标项目,调整资产与负债结构,可以较好地实现商业银行的利率风险免疫。Interest risk has become a main risk which influences the performance of commercial bank more and more under the background of interest rates liberalization. Duration put forward by Macaulay（1938） is a general way of measuring interest risk . By setting duration gap model managed by calculating the duration of the total assets and liabilities of commercial bank, the interest risk immunization strategy of commercial bank has been put forward by this paper. Meanwhile, it is showed by demonstration that interest risk immunization can be achieved by setting target item and adjusting .asset and liability structure.

关 键 词：商业银行 利率风险 久期缺口 免疫策略 

分 类 号：F830.33[经济管理—金融学]