利率风险的识别与度量——基于中国商业银行的实证分析  

The Recognition and the Measurement of Interest Rate Risk——An Empirical Study Based on Chinese Commercial Banks

作　　者：牟怡楠[1] 陆能[2] 

机构地区：[1]云南财经大学金融学院,昆明650221 [2]云南财经大学体育部,昆明650221

出　　处：《云南财经大学学报》2010年第5期88-96,共9页Journal of Yunnan University of Finance and Economics

摘　　要：中国银行业面临着前所未有的利率风险的巨大挑战,提升国内商业银行的利率风险管理能力,是一个极具现实紧迫性的课题,而系统、动态地识别和度量利率风险,又是我国商业银行利率风险管理面临的首要问题。对我国商业银行利率风险的具体表现形式进行阐述,并以商业银行的实际缺口数据为基础,进行简单缺口、基准风险、利率敏感度、压力测试等方面的实证分析;对利率波动造成的商业银行债券资产价值损失进行估算;并结合我国的利率体制、银行业的资产负债结构以及新《企业会计准则》的实施等因素进行了深入分析。The Chinese banking industry is facing unprecedented challenges of interest rate risk. Therefore, it is an urgent project to improve the interest risk management ability of Chinese commercial banks. However, systematic and dynamic recognition and measurement of interest rate risk are first problems of the project. The paper describes the manifestation of the interest rate risk of Chinese commercial banks, and based on the practical gap data of commercial banks, an empirical study is made on simple gap, benchmark risk, interest rate sensitivity, and pressure test etc. ; a evaluation is made on the value loss of bond assets of commercial banks caused by interest rate fluctuation ; and deeper analysis is made by taking China＇ s interest rate system, assets - liability structure of banks and new Enterprise Accounting Standard into consideration.

关 键 词：利率风险 识别和度量 商业银行经营管理 

分 类 号：F832.3[经济管理—金融学]