商业银行市场利率风险分析

伴随利率市场化的不断推进、金融市场开放进程的不断加快,利率风险逐步取代信用风险而成为商业银行风险管理的主要内容。从利率变动的显性影响与隐性影响两个角度分析利率风险成因与特征,得出隐性影响的测度模型、到期日模型和久期模型,并总结出历史模拟法计量商业银行利率风险的方法步骤。

Analysis of Risks Faced by Commercial Banks from Market Interest Rate

As the market interest rate is being implemented,the opening of the financial market is being accelerated.Thus the risks from interest rate rather than from credit have become the major factor of risk management in commercial banks.From the perspective of dominant and recessive effects of interest changes,this paper analyzes the reasons and features of interest rate,constructs the measure model,maturity model and duration model,and summarizes the steps to calculate interest rate risks in commercial banks with historical simulation method.