利率市场化后我国商业银行利率风险管理对比研究  

The Comparative Study on The Risk Management of China's Commercial Bank Interest Rate After The Marketization of Interest Rate

作　　者：刘毅[1] 孙剑 尹美玲 

机构地区：[1]北京工商大学,北京100048 [2]博文教育助教中心

出　　处：《浙江金融》2016年第10期35-42,共8页Zhejiang Finance

摘　　要：本文主要研究利率市场化后我国大中小型商业银行的利率风险,运用利率敏感性方法和Va R方法,发现我国大型国有商业银行的利率风险无论在绝对值方面还是在相对值方面都比股份制商业银行和城市商业银行风险高,并表现出逐年升高的趋势,但是综合考虑自身总资产的因素后,中国商业银行各自对自身利率风险在承受范围之内。总体来看,利率市场化后,我国商业银行的利率风险是增大的,因此,我国商业银行应加强利率风险管理。This paper use two methods called Interest rate sensitivity gap and Va R to conduct a comparative study on China＇s large-and-middle sized commercial bank＇s risk of interest rate after the marketization of interest rate,the conclusion is that China＇s large sized state owned commercial bank＇s risk of interest rate is higher than joint stock commercial bank and city commercial bank both from the aspect of absolute terms or relative terms,and this present an ascending tendency.But when take the factor of commercial bank＇s owned total asset into account,we could see that the risk of interest rate that China＇s commercial banks face today is within their bearing range.On the whole,after the marketization of interest rate,China＇s commercial bank＇s risk of interest rate is increasing,so the commercial bank should strengthen the management of the interest rate risk.

关 键 词：商业银行 利率风险 利率敏感性缺口 VAR 

分 类 号：F832.7[经济管理—金融学]