我国商业银行利率风险的敏感性分析

Sensitivity Analysis on Commercial Bank Interest Rate Risk of Our Country

我国商业银行在利率市场化的进程中必将面临日益严重的利率风险,如何选择利率风险管理方法是摆在银行面前的迫切问题。介绍了利率敏感性缺口模型机理及在我国目前状况下选择该模型的理由,由于我国银行资产负债不匹配、收入结构相对单一以及主要考虑收益分析法等特性,决定了现阶段大部分商业银行采用利率敏感性缺口的方法。随着利率市场化的推进,我国商业银行将越来越多地运用利率衍生工具、持续期等分析方法。

Chinese commercial banks will face increasingly serious interest rate risk in the process of marketization of interest rate.How to choose the interest rate risk management method is an urgent problem before the bank.The article introduced the mechanism of the interest rate sensitive gap model and reasons of this choice under the current situation in China：the assets and the liabilities of our country＇s commercial banks don＇t match;the income structure is single;our country＇s commercial banks mainly consider revenue analysis and other properties.It determines that most commercial banks in our country adopt the interest rate sensitive gap model.With the development of the process of marketization of interest rate,Chinese commercial Banks will more and more use interest rate derivatives,duration analysis methods and so on.