金融中介体利率风险暴露理论研究综述

Summary of Theoretical Study on Financial Intermediaries Interest Rate Risk Exposure

一方面,由于金融中介体具有规制约束的特点使其对利率变化更为敏感;另一方面,其长期中介的功能也使其更易出现利率风险暴露。金融中介体利率理论的早期研究表明,只要杠杆调整的久期缺口为负(或为正)且预期能够实现,金融中介体就能够通过对利率变化的估测进行投机。近年来,关于金融中介体利率风险理论研究主要围绕金融中介体的利率风险、事件研究与利率波动性、利率风险的定价等问题展开。目前,收益—权益之谜的定价含义、金融中介体规模和其收益敏感性之间的相关性和基础性的经验研究理论仍是有待于进一步研究的课题。

On the one hand, owing to rule and regulation binding feature of financial intermediaries, they are more sensible to interest rate variation ; on the other hand, the function of long - term intermediary also makes them vulnerable to interest rate risk exposure. The early study of financial intermediaries＇ interest rate theory suggests that if only leverage adjusted duration gap is negative （or positive） and is expected to be realized, financial intermediaries can speculate by estimating interest rate variation. In recent years, the financial intermediary interest rate theoretical study is mainly focused on the interest rate risk, event study and interest rate violation, pricing of interest rate risks. At present, pricing implication of revenue - benefit riddle, the relevance of financial intermediary size and revenue sensibility, and fundamental experience study theory, are the questions for further study.