上市商业银行利率风险实证分析

本文以16家上市商业银行在2007～2011年的年报数据为基础,运用RSG模型进行了横向分析与纵向比较,得出我国国有控股商业银行在规避利率风险方面落后于新兴股份制银行,倾向于延续原来的融资缺口状况,并且存在＂短借长贷＂问题,致使其在利率波动中蒙受较大损失,而部分股份制银行灵活运用缺口管理策略值得借鉴。

The Empirical Analysis on the Interest Rate Risk of Listed Commercial Banks

Taking the annual report data of 16 listed commercial banks from 2007 to 2011 as the foundation, using RSG model, the paper makes the lateral analysis and longitudinal comparison, and draws the conclusion that China’s state-owned commercial banks are dropped behind the emerging joint-stock banks in the aspect of avoiding the interest rate risk, tend to continue the original fi-nancing gap, and have the problems of“borrowing for a short term and lending for a long term”, which make state-owned commer-cial banks be subject to the large losses in the interest rate fluctuation. Therefore, the flexible gap management strategy of the joint-stock banks is worth using for reference.