国债利率风险与市场风险的识别与规避

Identifying and Covering the Interest Rate Risk and Market Risk of the Treasury Bonds

长期以来,贷款的信用风险一直被认为是中国银行业所面临的最大的风险,因此银行将大量资产用于购买国债。但是2003年末和2004年上半年,国债市场的频繁波动使越来越多的中国银行认识到国债也不是一种无风险的资产,国债给银行带来稳定的利息收入的同时,也带来了大量的损失。2007年1月4日,中国人民银行推出了上海银行间同业拆放利率,这一利率的推出意味着交易性国债价格的波动将进一步加强,银行由于持有国债所带来的风险也随之更大。因此,如何建立一个行之有效的有中国特色的国债风险管理体系将是未来中国银行业的一大挑战。

China＇ s banks have bought huge amount of Treasury bonds since credit risk of loans was regarded as the biggest risk in China＇ s banking system for a long period. But at the end of 2003 and in the first half of 2004, the h-equent fluctuations in Treasury bond market make China＇ s banks understand that the Treasury bond is not risk- free asset. Treasury bonds brought stable interest income for banks while large loss occurred at the same time. On January 4th 2007, the Shanghai - Interbank- Offered- Rate has been published by the People＇ s Bank of China. It is implied that the fluctuations of the trading Treasury bonds＇ price will be enhanced while the risk of holding such bonds by the China＇ s banks will be larger. Thus it is one of the challenges which China＇ s banking face that how to establish an effective Treasury- bond Risk Management System with China＇ s characteristics.