我国商业银行利率风险管理的实证研究  

An Empirical Research on the Interest Rate Risk Management of Chinese Commercial Banks

作　　者：李春红[1] 董晓亮[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《华东经济管理》2012年第4期88-92,共5页East China Economic Management

摘　　要：借助利率敏感性缺口模型,文章对我国14家上市银行在2007年至2010年期间的利率风险管理状况进行了实证研究。结果发现,近几年,我国商业银行整体上在应对利率变动风险方面取得一定成效,中小规模商业银行的利率风险管理能力总体上要优于大规模商业银行;但是,商业银行依然存在中长期利率敏感性资产和负债匹配严重失衡等问题。The paper analyzes the interest rate risk management situation of Chinese 14 listed banks from 2007 to 2010 by using interest rate sensitivity gap model. The result shows that Chinese commercial banks have achieved an effective risk manage- ment in recent years, middle and small size commercial banks show a more excellent ability in interest rate risk management than big banks. However, it＇s quite serious that there are still many commercial banks which have imbalanced match of assets and liabilities in middle and long term.

关 键 词：利率风险 利率敏感性缺口 金融危机 

分 类 号：F406.7[经济管理—产业经济]