[1]陈标金,姚婷婷,郑培杰.我国商业银行利率风险评估[J].金融教育研究,2017,(02):3-8.
　CHEN Biaojin,YAO Tingting,ZHENG Peijie.The Evaluation of China’s Commercial Banks’ Interest Rate Risk[J].,2017,(02):3-8.
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我国商业银行利率风险评估()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2017年02期
页码:
3-8
栏目:
出版日期:
2017-03-01

文章信息/Info

Title:
The Evaluation of China’s Commercial Banks’ Interest Rate Risk
作者:
陈标金;  姚婷婷;  郑培杰
华南农业大学 经济管理学院,广东 广州 510642
Author(s):
CHEN Biaojin;  YAO Tingting;  ZHENG Peijie
College of Economics and Management,South China Agricultural University,Guangzhou,Guangdong 510642,China
关键词:
利率风险;  Fisher-Weil久期模型;  风险管理;  资产证券化
Keywords:
interest rate risk;  Fisher-Weil duration model;  risk management;  asset securitization
分类号:
F830.33
文献标志码:
A
摘要:
文章利用Fisher-Weil久期模型,估算了我国十二家上市商业银行次贷危机前后(2007年、2010年、2015年)资产负债的久期及其缺口,分析了商业银行利率风险的演变和现状。估算结果显示次贷危机前后我国商业性银行之间资产负债的久期缺口变化差异显著,但总体缺口都偏大,面临的利率风险较高。文章认为应加速信贷资产证券化进程,为商业银行利率风险管理提供必要的市场环境; 商业银行也应主动调整资产负债结构、利用国债期货等工具加强利率风险管理。
Abstract:
Based on Fisher-Weil Duration Model,this paper estimated China’s twelve commercial banks’ liabilities durations and their gaps(in 2007,2010 and 2015)before and after subprime mortgage crisis,and analyzed those commercial banks’ interest rate risk’s evolution and current state.The results indicated that the duration gaps have significant changes among different commercial banks before and after the subprime crisis,but the overall gaps were big,the interest rate risks were high.We should accelerate the credit asset securitization process and provide necessary market environment for commercial bank interest rate risk management.In the meantime,the commercial banks should actively adjust the structure of assets and liabilities,and use the bond futures and other financial tools to strengthen the interest rate risk management.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2017-01-20基金项目:国家社科基金一般项目(13BJL065、14BJY122、15BJY169)作者简介:陈标金(1967-),男,江西石城人,博士,副教授,硕士导师,研究方向为金融工程; 姚婷婷(1994-),女,广东茂名人,本科学生; 郑培杰(1994-),男,广东茂名人,本科学生。
更新日期/Last Update: 1900-01-01