基于久期理论的商业银行利率风险实证研究  

Research on Interest Rate Risk Management of Commercial Bank Based on Duration Theory

作　　者：邢芙伟[1] 朱家乐[1] 

机构地区：[1]南京农业大学经济管理学院,江苏南京210095

出　　处：《海南金融》2009年第6期63-67,共5页Hainan Finance

摘　　要：随着我国利率市场化进程的加快,商业银行所面临的利率风险越来越严重,对利率风险的管理也越来越受到关注。本文通过对久期理论及模型的研究,对比其他理论方法简要分析了久期在我国的适用性,之后结合我国商业银行的相关财务数据,实证分析了我国商业银行所面临的利率风险,并对多家商业银行的风险进行了比较,最终给出简要的结论及相应的建议。The interest rate risk of commercial bank become more and more serious since the process of Market Oriented Interest Rate Reform become fast in our country. As a result, experts pay more attention to the management of interest rate risk. The article will show the research about duration theory and duration model, and briefly analyse the applicability of duration by comparing it with the other theories. According to the study, we will measure and compare the real interest rate risk of commercial bank by using the balance sheet in our country. Finally we will give the brief conclusion of the research and some advice basing on the research.

关 键 词：久期 商业银行 利率风险 凸性 

分 类 号：F830.33[经济管理—金融学]