论主要商业银行市场风险管理  

On Commercial Banks' Market Risk Management

作　　者：牛茜[1] 

机构地区：[1]中国人民银行郑州培训学院,河南郑州450011

出　　处：《金融理论与实践》2008年第7期78-81,共4页Financial Theory and Practice

摘　　要：随着利率和汇率市场化进程的推进,利率风险和汇率风险已现实地发生在商业银行身上。在规定的过渡期内,主要商业银行在调整风险管理组织架构、选择市场风险管理模型、引进先进风险管理系统和推进内部评级法等方面均做了大量工作,以提高其市场风险管理能力。但总体来说,目前中国主要商业银行对市场风险的管理仍不能完全适应市场风险日益增大的现实,如风险转移和对冲手段较少、缺乏有效的市场风险管理模型和风险管理系统等。因此,主要商业银行应积极采取措施:夯实数据基础,坚持自主开发市场风险管理模型,防止出现国外风险管理系统的"水土不服",适时引进风险价值法,积极参与金融衍生产品交易,进一步提高市场风险的管控水平。With the advance of interest rate and exchange rate reform, commercial banks are facing with interest rate risks and exchange rate risks realistically. In the limited transition period, commercial banks have made great efforts to enhance their risk management ability, such as adjusting management framework, selecting market risk management models, introducing advanced risk management system and pushing on internal rating method. Generally speaking, China＇s main commercial banks ＇market risk management doesn＇t fit with the market very well, such as lacking of risk transfer and hedging instruments, shortage of effective market risk management models and risk management system. Commercial banks should solidify the basis of data, develop market risk management models independently, introduce value at risks （VARs） methods, and participate in financial derivatives transaction actively to increase their management of market risk.

关 键 词：商业银行 市场风险 风险价值法 

分 类 号：F830.2[经济管理—金融学]