商业银行市场风险的若干思考

Some Thoughts on the Market Risks of Commercial Banks

此次国际金融危机表明,传统的市场风险理论与管理模式可能已不能适应金融市场业务的发展需要。本文重新审视了市场风险的内容与实质,认为波动性风险只是市场风险最基本的特征。实际上,市场风险的发生和变化是与信用风险、流动性风险、操作风险等紧密交织在一起的,并包含了各类风险之间的相互影响。此外,本文还讨论了如何科学计量市场风险,提出了若干能够有效应用于我国商业银行市场风险管理的措施和对策。

The recent financial crisis shows that the traditional theory of market risk management may not be suitable as financial markets evolve. This paper re-examines the content and essence of market risks and we argue that the basic characteristic of market risk is volatility. In fact, the emergence and change of market risk are closely related and interacted with credit risk, liquidity risk, and operational risk. In addition, this paper discusses how to measure the market risk, and proposes some effective measures for risk management in China＇ s commercial hanks.