久期在商业银行利率风险管理中的应用

Application of Duration in the Interest Rate Risk Management of Commercial Banks

我国利率市场化进程的快速推进,金融产品创新和混业经营的发展,使商业银行的利率风险问题日益突出,增加了银行风险管理的难度。本文从久期的基本思想出发,分析了久期的局限性及其在我国商业银行风险管理中面临的问题,最后结合实际提出了久期在我国商业银行风险管理中的应用对策。

With the rapid development of China＇s liberalization of interest rate and innovation ＇of financial product and the development of mixed business, the problem of commercial banks＇ interest rate risk is getting prominent. This paper begins with the basic idea of duration, then analyzes the limitations and difficulties of duration in commercial banks＇ risk management. In the end, it puts forward several strategies for the use of duration in the commercial bank＇s risk management.