商业银行利率风险管理技术综述

一、引言(一)现实背景从2000年9月21日起,我国利率市场化改革进入实质性阶段,预计三年内完成。利率市场化是一场系统性的金融革命,必将对经济金融领域的方方面面产生重要影响。商业银行应积极采取措施,应对利率市场化将带来的一系列风险。近几年,我国发行了大量的国债和金融债,

Interest-rate Risk Management Techniques in Commercial Banks:An Overview

Firstly this paper introduces the importance of interest-rate risk management in our commercial banks in these years,and then the definition and classification of interest-rate risk.Secondly we view the(interest)-rate risk management techniques from two aspects.One is the concrete aspect,including gap (management),effective duration,financial engineering techniques and so on;the other is the general aspect(including) VaR and scenario stress test.At last,we look forward to the future development of the interest-rate risk management techniques.