银行利率风险管理的二元目标:一致拟或冲突

Dual Objectives of Banks' Interest Rate Risk Management: Consistent or Inconsistent?

基于我国五家商业银行样本,运用Vasicek模型和CIR模型的模拟风险收益(EaR)和风险价值(VaR)方法,以及巴塞尔委员会的200基点标准冲击方法,研究银行账户利率风险的计量。研究发现,银行1年内净利息收入面临的是利率下降的风险,而经济价值面临的是利率上升的风险,利率冲击的效应并不一致。在此基础上,使用1年内缺口值占总缺口值的比率作为资产负债管理策略的代理变量,进一步讨论利率风险管理二元目标一致拟或冲突的问题。

The paper studies the measurement of interest rate risk of the bank using a sample of five Chinese commercial banks. EaR and VaR are simulated based on Vasicek Model and CIR model. Meanwhile, the standard 200bp interest rate shock stress-testing method proposed by Basel Committee is applied. The results show that in all banks 1-year net interest income is subject to the risk of the interest rates fall, but their economic value is subject to the risk of the rise in interest rate. Two objec- tives are not consistent. Using the ratio of one-year cumulative gap to total cumulative gap as the proxy variable for the differ- ent gap structure of asset-liability, the paper further studies the consistency problem of dual objectives of banks＇ interest rate risk management.