商业银行利率风险管理模型及实证分析

Interest Rate Risk Management Model for Commercial Banks

利率风险是利率的不利变动给银行财务状况带来的风险。利率的变动通过影响银行的净利息收入和其他一些利率敏感性收益和经营费用,最终影响到银行的收益。如果对利率敏感性缺口和持续期缺口模型进行分析,可以探讨出规避利率风险的相关思路。

Interest rate risk results from the risk of the bank＇ s financial conditions caused by the unbeneficial adjustments and changes of the interest rate. With influencing the bank＇ s net interest income and some other Interest - Sensitive income and managing income, the interest rate changes ultimately influence the bank＇ s income. This paper makes empirical analyses of the interest - sensitive, duration gap and interest - sensitive gap in order to find the solutions to interest rate risk evasion.