摘要
随着利率市场化的深入,利率风险对商业银行的影响越来越大,但是我们不能由此忽视银行的传统风险——信用风险。只要银行继续经营存贷款业务,信用风险就会存在,不管这种风险是大是小,因此商业银行的明智之举是把信用风险和利率风险统一纳入风险管理系统。本文通过模型表明,信用风险和利率风险往往夹杂在一起共同影响银行经营,而且两者之间存在着此消彼长的关系。为了验证两者的负相关性,本文用票面利率和持续期分别代表信用风险和利率风险,引用中国数据和美国数据进行了实证分析,实证结果支持我们的结论。
With the deepening of interest rate liberalization, interest rate risk is having a great influence on commercial bank, but we can't ignore the credit risk. The commercial bank should bring these two risks into risk management system. According to a famous model, this article proves that interest rate risk and credit risk are negatively related and they usually affect commercial banks together. Through a demonstration, the results support our conclusion.
出处
《国际金融研究》
CSSCI
北大核心
2004年第10期51-60,共10页
Studies of International Finance
