利率市场化背景下我国商业银行利率风险实证研究  

An empirical study on the interest rate risk of commercial banks in China under the interest rate liberalization

作　　者：杨毅[1] 苏庚云 

机构地区：[1]广西科技大学财经学院,广西柳州545006

出　　处：《广西科技大学学报》2015年第3期106-114,共9页Journal of Guangxi University of Science and Technology

基　　金：国家社会科学基金项目(11XJL016)资助

摘　　要：随着利率市场化的推进,我国商业银行面临着更大的风险.以我国大型和新兴股份制商业银行在利率波动下的风险为主线,运用VaR方法和利率敏感性缺口模型对我国商业银行的利率风险状况进行实证研究.研究发现,随着利率管制的不断放松,我国整个银行业面临的利率风险呈总体上升趋势,并且商业银行普遍存在"借短贷长"的畸形资产负债结构,新兴股份制银行的利率风险管理要优于大型商业银行的利率风险管理.根据实证结果,从商业银行利率风险管理的自身控制以及不同类型银行利率风险管理的侧重点差异两个方面给出我国商业银行利率风险管理提升建议.With the advance of China＇s interest rate liberalization, commercial banks face greater risks. This paper discussed China＇s commercial bank interest rate risk prevention under the background of interest rate liberalization. In this paper, the main line is the interest rate risk in interest rate＇s volatile of large and emerging joint-stock commercial banks, by using VaR method and the interest rate sensitivity gap model to empirical research on interest rate risk status of China＇s commercial banks empirical research. We found that with the continuous relaxation of interest rate controls, the interest rate risk of the entire banking industry was faced with an overall upward trend, and the ＂borrow short-term loans long＂ abnormal balance sheet structure in commercial banks was widespread, interest rate risk management in emerging joint-stock bank＇s is better than that of large commercial banks. According to the empirical results, this paper gives some advice to enhance the ability of China＇s commercial banks interest risk management from two aspects of interest rate risk management of commercial bank＇s own control and emphasis differences between different types of bank interest rate risk management.

关 键 词：利率市场化 商业银行 利率风险 VAR 利率敏感性缺口 

分 类 号：O212[理学—概率论与数理统计] F224[理学—数学]