利率风险的识别与度量——基于中国商业银行的实证分析

发布时间：2018-03-15 16:58

本文选题：利率风险　切入点：识别和度量　出处：《云南财经大学学报》2010年05期 　论文类型：期刊论文

【摘要】：中国银行业面临着前所未有的利率风险的巨大挑战,提升国内商业银行的利率风险管理能力,是一个极具现实紧迫性的课题,而系统、动态地识别和度量利率风险,又是我国商业银行利率风险管理面临的首要问题。对我国商业银行利率风险的具体表现形式进行阐述,并以商业银行的实际缺口数据为基础,进行简单缺口、基准风险、利率敏感度、压力测试等方面的实证分析;对利率波动造成的商业银行债券资产价值损失进行估算;并结合我国的利率体制、银行业的资产负债结构以及新《企业会计准则》的实施等因素进行了深入分析。
[Abstract]:China's banking industry is facing a huge challenge of unprecedented interest rate risk. It is a realistic and urgent task to enhance the interest rate risk management ability of domestic commercial banks, and systematically, dynamically identify and measure interest rate risk. It is also the most important problem that our country commercial bank interest rate risk management faces. This paper expounds the concrete manifestation form of our country commercial bank interest rate risk, and based on the actual gap data of the commercial bank, carries on the simple gap, the benchmark risk, The empirical analysis of interest rate sensitivity, stress test and so on; to estimate the value loss of commercial bank bond assets caused by interest rate fluctuation; and to combine the interest rate system of our country, The assets and liabilities structure of the banking industry and the implementation of the new Accounting Standards for Enterprises are analyzed in depth.
【作者单位】：云南财经大学金融学院;云南财经大学体育部;
【分类号】：F832.33

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