商业银行资产负债结构抵御利率风险能力的仿真测试

Simulation Test of the Capacity of Resisting Interest Rate Risks of the Asset/Liability Structures in Commercial Banks

本文介绍了一种简单可行、具有较强可操作性的方法——仿真方法，该方法可以较客观地反映商业银行资产负债结构抵御利率风险的实际效果，因此，可以用于商业银行或监管机构评价商业银行所面临的利率风险。该仿真方法是以财务报表分析为基础的，因此，本文首先对商业银行资产负债表进行了分析，根据各资产或负债科目利率敏感性特点，将其各自重新归类。提出了新的资产负债表式，给出了资产负债表重组的原则和具体方法。然后，本文介绍了这一仿真方法总体思路，并应用该方法，对Ｓ银行作了一实际仿真实验。

This paper puts forward a simulation approach to appraising the capacity of resisting interest rate risks of the asset/liability duration structures in commercial banks,and thus offers an operational method for commercial banks to rssess the interest rate risks.It is the first time that of restructuring the balance sheet of commercial banks according to the interest rate sensitive characteristics of various asset/liability items of commercial banks,Bootstrap an advanced statistics sampling approach, is employed to simulated the interest rate fluctuations on the outside market. As an example,the balance sheet of bank S is given detailed analysis,and a new form of balance sheet is given for commercial banks,which is applicable for them to appraise the capability of resisting interest rate risks, in addition, the interest rate risks resistance capability of the balance sheet structure of bank S is appraised.