升息周期中商业银行的利率风险分析

Analysis on Interest Rate Risk of Commercial Banks in the Interest Rate Rising Cycle

随着宏观经济进入新一轮增长周期、利率市场化的加深以及美国利率的走高,我国将步入升息周期。本文主要描述升息周期中我国商业银行面临的各种风险因子及其动态变化。在持续8年的降息周期中,我国商业银行已经形成特定的适应降息环境的资产负债成熟期结构-利率敏感性负缺口,这种成熟期结构因现行的计结息规定和定期存款的内含选择权而强化,在升息周期中将给银行带来惨重的利率风险损失。而另一些风险因子:存贷款利率上升的幅度、利率上升的期限结构以及银行持有的较大的净利息头寸等,在升息周期中将产生对银行有利的影响。从升息周期各风险因子的动态变化看,这种负向的风险损失和正向的风险收益随着时间交替发生作用,导致银行的预期收益发生难以预料的波动,从而加大银行经营的总体风险。

China will enter into an interest-rate-rising period along with the expansion of the new business cycle The trend will strengthened by other two factors: the market-oriented reform of interest rate and the raise of American interest rate This article tries to analyze various interest rate risk factors and their dynamic effects with commercial bank in the rising period of interest rate China has consecutively decreased interest rate for 8 years During the period, Chinese commercial banks have formed a special maturity structure of assets and debt-interest-rate sensitivity negative gap position Due to this special maturity structure, Chinese commercial banks will loss money in the upcoming interest-rate-rising period And the special maturity structure has been further strengthened by interest rate regulations and the embedded option of term deposits There are other factors such as basic point, yield curve and net interest position, will have a positive impact on Chinese commercial banks' earning in the interest-rate-rising period The negative impact and the positive impact will function alternatively from a dynamic perspective It will enlarge the extent of fluctuation of expected profits and increase the overall risk of Chinese commercial bank