商业银行期限错配风险的测度  

Measurement of Term Mismatch Risk of Commercial Banks

作　　者：李北伟[1] 耿爽 Li Beiwei;Geng Shuang(School of Management,Jilin University,Changchun 130022,China)

机构地区：[1]吉林大学管理学院,长春130022

出　　处：《统计与决策》2020年第11期125-129,共5页Statistics & Decision

基　　金：国家自然科学基金资助项目(71373100);吉林省科技厅科技引导计划软科学项目(20180418092FG);吉林省哲学社会科学基金资助项目(2018B67);吉林大学省校共建专项研究项目(502041)。

摘　　要：资产负债的期限错配是商业银行经营管理的核心,这既是利差收益的来源,也是银行风险的源头。但长期以来,期限错配风险研究通常转化为对流动性风险和利率风险的研究,而对其本身进行统计和分析则比较少见。文章通过梳理6家银行累计11年的经营数据,通过多元回归分析并采用广义差分法进行修正,围绕久期缺口指标,构建了能够整体反映和衡量商业银行期限错配程度的方法,将期限错配风险研究回归到期限特征本身。Maturity mismatch of assets and liabilities is the core of operation and management of commercial banks, which is both a source of spread yield and a source of bank risks. But for a long time, the study on maturity mismatch risk is usually transformed into the study on liquidity risk and interest rate risk, while the statistics and analysis on it are relatively rare. This paper combs the operating data of 6 banks for 11 years. By means of multiple regression analysis and making correction with the generalized difference method, the paper develops around the duration gap index to establish a method able to reflect and measure the maturity mismatch degree of commercial banks, and turn the study of maturity mismatch risk back to that of maturity characteristics themselves.

关 键 词：期限错配风险 流动性风险 利率风险 久期缺口 

分 类 号：F832.33[经济管理—金融学]