升息周期中利率风险对我国商业银行资本充足率的影响分析

利率上升使得商业银行资产市值下降程度大于负债市值下降程度,其结果是造成银行股本的市值下降得更快,因此这种利率风险在降低商业银行收益的同时,还会导致商业银行资本充足率的波动.根据盯市法通过此轮升息周期中利率变动对我国商业银行资本充足率受到的影响的数值模拟可以看出:利率上升一个百分点,商业银行资本充足率会相应下降一个百分点,因此,我国商业银行必须建立针对利率风险的资本充足率管理机制.

The analyses on the effect of rate risk in the cycle of interest rise on the capital adequate rate of Chinese commerce banks

The rise of interest make the market value of capital in commerce banks drop more than that of debt,resulting in the drop of the shares' market value at higher speed,so while this interest risk reduces the revenue of commercial banks,it will lead to the fluctuation of capital adequate rate of banks.This paper makes the numerical simulation of effect of interest change on the capital adequate rate of Chinese commercial banks in this cycle of interest rise by means of market-to-market,which demonstrates that the rise of one hundred percent in the interest rate would result in the drop of one hundred percent in the capital adequate rate of commercial banks.And this paper puts forward corresponding suggestions.