基于久期缺口的商业银行利率风险免疫策略及实证分析

随着利率市场化的深入,利率风险越来越成为影响商业银行绩效的主要风险。因此,如何对商业银行利率风险进行计量及管理,日益成为国内外学术界高度关注的重要课题。本文通过建立久期缺口模型,提出了商业银行利率风险免疫策略,并进行实证分析,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。

Interest Risk Immunization and Demonstration of Commercial Bank on a Basis of Duration Gap

Interest risk has become a main risk which influences the performance of commercial bank more and more under the background of interest rates liberalization.Therefore,how to measure and manage interest risk of commercial bank has become an important lecture which academe has paid more and more attention to.By setting duration gap model,the interest risk immunization strategy of commercial bank has been put forward by this thesis and demonstration has also been applied here to indicate that interest risk immunization can be achieved by setting target item and adjusting asset and liability structure.