摘要
随着国内金融市场自由化改革的逐渐深入,使利率风险日渐凸显,从而上升为影响商业银行绩效的主要风险,如何计量和控制利率风险,并对其进行科学地管理,逐渐成为国内外学术界探讨的重要焦点.文中在国内利率市场化改革稳步推进的背景下,通过分析商业银行存在的利率风险,建立了久期缺口管理模型,并进行实证解析和比照,通过实证对比,运用久期缺口管理技术,并结合国内实际情况,能有效地测度和管理利率风险,最终达到预防和控制国内商业银行利率风险.证明运用久期缺口免疫策略可以使商业银行有效地规避利率风险.
With the gradual liberalization of the financial market in China, interest rate risk is becoming the main risk influencing the performance of commercial banks. Therefore, how to measure and manage interest rate risk has become an important topic in the academic field. Based on the analysis of the interest rate risk that commercial banks face, a duration gap model is built. And then an empirical analysis and contrast are made, showing that using the model can effectively estimate and manage the interest rate risk and eventually prevent and control the risk. The research shows that immunization can enable commercial banks to evade interest rate risk effectively.
出处
《西安工业大学学报》
CAS
2013年第11期922-929,共8页
Journal of Xi’an Technological University
基金
国家自然科学基金资助项目(70973096)
陕西省高校重点学科专项资金建设资助项目(107-00X902)
