商业银行利率市场化承受力量化评估——理论框架与实证分析

Quantitative Assessment for Commercial Banks' Endurance to Interest Rate Liberalization

本文从经营收益和经济价值两个维度构建了商业银行利率市场化承受力量化评估的理论框架,在此基础上选择"基差风险"和"收益率曲线风险"两种压力情景,对重庆市内开业1年以上的19家存款类地方法人金融机构利率市场化承受力进行了量化评估和实证分析。

This paper builds a theoretical framework to assess commercial banks ＂ endurance to interest rate hber- alization from operating profits and economic value. On this basis, the paper selects 19 local financial institutions that opened more than one year in Chongqing, and makes quantitative assessment and empirical analysis for their endur- ances to interest rate liberalization in two stress scenarios of basis risk and yield curve risk.