| 商业银行利率风险：基于久期缺口的免疫策略及实证分析 |
| |
| 引用本文： | 刘湘云,唐娜.商业银行利率风险：基于久期缺口的免疫策略及实证分析[J].南京航空航天大学学报(社会科学版),2006,8(3):38-41,53. |
| |
| 作者姓名： | 刘湘云 唐娜 |
| |
| 作者单位： | 广东商学院,金融学院,广东,广州,510320 |
| |
| 基金项目： | 广东省哲学社会科学规划项目 |
| |
| 摘 要： | 利率市场化程度的加深使得利率风险越来越成为影响商业银行绩效的主要风险.久期是一种常见的利率风险计量方法,通过分别计算商业银行总资产和总负债的久期来构建久期缺口模型;以此为基础提出商业银行利率风险免疫策略.实证分析表明通过确立目标项目,调整资产与负债结构,可以较好地实现商业银行的利率风险免疫.
|
| 关 键 词： | 商业银行 利率风险 久期缺口 免疫策略 |
| 文章编号： | 1671-2129(2006)03-0038-04 |
| 修稿时间： | 2006年3月21日 |
Interest Risk of Commercial Bank: Immunization Strategies and Demonstration Analysis on the Basis of Duration Gap |
| |
| LIU Xiang-yun,TANG Na.Interest Risk of Commercial Bank: Immunization Strategies and Demonstration Analysis on the Basis of Duration Gap[J].Journal of Nanjing University of Aeronautics & Astronautics(Social Sciences),2006,8(3):38-41,53. |
| |
| Authors: | LIU Xiang-yun TANG Na |
| |
| Abstract: | Interest risk has become a main risk which influences the performance of commercial bank more and more under the background of interest rates liberalization.Duration put forward by Macaulay(1938) is a general way of measuring interest risk.By setting duration gap model managed by calculating the duration of the total assets and liabilities of commercial bank,the interest risk immunization strategy of commercial bank has been put forward by this paper.Meanwhile, it is showed by demonstration that interest risk immunization can be achieved by setting target item and adjusting asset and liability structure. |
| |
| Keywords: | commercial bank interest risk duration gap immunization strategy |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
