广西科技大学学报
廣西科技大學學報
엄서과기대학학보
Journal of Guangxi University of Science and Technology
2015年
3期
106-114
,共9页
利率市场化%商业银行%利率风险%VaR%利率敏感性缺口
利率市場化%商業銀行%利率風險%VaR%利率敏感性缺口
리솔시장화%상업은행%리솔풍험%VaR%리솔민감성결구
interest rate liberalization%commercial bank%interest risk%VaR%interest rate sensitivity gap
随着利率市场化的推进,我国商业银行面临着更大的风险。以我国大型和新兴股份制商业银行在利率波动下的风险为主线,运用VaR方法和利率敏感性缺口模型对我国商业银行的利率风险状况进行实证研究。研究发现,随着利率管制的不断放松,我国整个银行业面临的利率风险呈总体上升趋势,并且商业银行普遍存在“借短贷长”的畸形资产负债结构,新兴股份制银行的利率风险管理要优于大型商业银行的利率风险管理。根据实证结果,从商业银行利率风险管理的自身控制以及不同类型银行利率风险管理的侧重点差异两个方面给出我国商业银行利率风险管理提升建议。
隨著利率市場化的推進,我國商業銀行麵臨著更大的風險。以我國大型和新興股份製商業銀行在利率波動下的風險為主線,運用VaR方法和利率敏感性缺口模型對我國商業銀行的利率風險狀況進行實證研究。研究髮現,隨著利率管製的不斷放鬆,我國整箇銀行業麵臨的利率風險呈總體上升趨勢,併且商業銀行普遍存在“藉短貸長”的畸形資產負債結構,新興股份製銀行的利率風險管理要優于大型商業銀行的利率風險管理。根據實證結果,從商業銀行利率風險管理的自身控製以及不同類型銀行利率風險管理的側重點差異兩箇方麵給齣我國商業銀行利率風險管理提升建議。
수착리솔시장화적추진,아국상업은행면림착경대적풍험。이아국대형화신흥고빈제상업은행재리솔파동하적풍험위주선,운용VaR방법화리솔민감성결구모형대아국상업은행적리솔풍험상황진행실증연구。연구발현,수착리솔관제적불단방송,아국정개은행업면림적리솔풍험정총체상승추세,병차상업은행보편존재“차단대장”적기형자산부채결구,신흥고빈제은행적리솔풍험관리요우우대형상업은행적리솔풍험관리。근거실증결과,종상업은행리솔풍험관리적자신공제이급불동류형은행리솔풍험관리적측중점차이량개방면급출아국상업은행리솔풍험관리제승건의。
With the advance of China's interest rate liberalization, commercial banks face greater risks. This paper discussed China's commercial bank interest rate risk prevention under the background of interest rate liberalization. In this paper, the main line is the interest rate risk in interest rate's volatile of large and emerging joint-stock commercial banks, by using VaR method and the interest rate sensitivity gap model to empirical research on interest rate risk status of China's commercial banks empirical research. We found that with the continuous relaxation of interest rate controls, the interest rate risk of the entire banking industry was faced with an overall upward trend, and the "borrow short-term loans long" abnormal balance sheet structure in commercial banks was widespread, interest rate risk management in emerging joint-stock bank's is better than that of large commercial banks. According to the empirical results, this paper gives some advice to enhance the ability of China's commercial banks interest risk management from two aspects of interest rate risk management of commercial bank's own control and emphasis differences between different types of bank interest rate risk management.