基于权益久期的商业银行利率风险度量技术研究

A Study on the Interest Rate Risk Measurement technology of Commercial Bank Based on Duration

在我国的利率市场化进程中,商业银行将面临巨大的利率风险,商业银行的利率风险管理势在必行。文章全面分析了利率风险的形成和对商业银行的影响,指出久期是利率风险度量方法的必然趋势,在此基础上,引入权益久期的概念,全面衡量商业银行面临的利率风险,并对权益久期的应用环境做深入研究。

<Abstrcat>During the process of Marketization of Interest Rate in China,the Commercial Bank will face with tremendous Interest Rate Risk.The Interest Rate Risk Management of Commercial Banks is inevitable.This paper analyzes completely the formation and influence of Interest Rate Risk and points out that duration is the trend of Interest Rate Risk Measurement methods,based on which we bring in the concept of 'Equity-Duration'.We measure completely the Interest Rate Risk of Commercial Banks with Equity-Duration and discuss deeply the application environment of Equity-Duration.