银行账簿利率风险度量——基于《IRRBB监管标准》  

A Measurement of Interest Rate Risk in the Banking Books: A Study based on IRRBB Standards

作　　者：包艳龙[1] BAO Yanlong

机构地区：[1]中国人民银行哈尔滨中心支行

出　　处：《金融监管研究》2018年第12期54-69,共16页Financial Regulation Research

摘　　要：根据巴塞尔委员会发布的《银行账户利率风险监管标准》,中国银行保险监督管理委员会于2018年5月30日制定并印发了《商业银行银行账簿利率风险管理指引(修订)》。基于这些文件的规定,本文分别利用净利息收益法(NII)和经济价值法(EVE)度量了我国26家上市商业银行的银行账簿利率风险。度量结果发现,样本银行的银行账簿利率风险从大到小的顺序为城市商业银行、农村商业银行、股份制银行、大型商业银行。此外,样本银行在2017年年报中公布的银行账簿利率风险,要远小于基于新监管标准的测算结果。基于新监管标准的测算结果显示,约85%的样本银行超出了新的银行账簿利率风险监管标准。最后,本文针对银行账簿利率风险防控存在的问题,从监管层面、银行金融机构层面提出了针对性建议,旨在通过加强对银行账簿利率风险的监测,切实提高对银行账簿利率风险的管理水平。According to "Interest Rate Risk in the Banking Book"(IRRBB) published by the Basel Committee on Banking Supervision, China Banking Regulatory Committee issued the "Guideline for Banking Book Interest Rate Risk Management of Commercial Banks (Revised Consultation Draft)" on November 24, 2017. According to the provisions of these documents, we use the Net Interest Income Method (NII) and the Economic Value Method (EVE) to measure the interest rate risk in the banking book of 26 listed commercial banks in China. We find that, commercial banks, ranked in a descending order according to their IRRBB, are respectively city commercial banks, rural commercial banks, joint-stock banks, large commercial banks. The scale of IRRBB published in the 2017 annual reports of sample banks is less than the results based on the new regulatory standards. Based on the results of the new regulatory standards, about 85% of the sample banks exceeded the regulatory standards of IRRBB. Finally, for the problems of IRRBB, we propose policy suggestions in terms of regulatory level and financial institution level, so as to improve the monitoring and the management of IRRBB.

关 键 词：巴塞尔委员会 银行账簿 利率风险 度量 

分 类 号：F832[经济管理—金融学]