摘要
随着人民币汇率形成机制的不断完善,汇率双向波动幅度逐步扩大,外汇敞口头寸的变化导致商业银行面临的货币错配风险逐步显现。通过对中国工商银行、招商银行等11家商业银行资产负债错配的典型案例分析,剖析了商业银行资产负债表净值、损益表和现金流量表对汇率变动的敏感性,并进一步阐述了资产负债错配的影响因素及可能的风险,在此基础上提出了在汇率市场化加速波动背景下防范货币错配风险的措施。
Abstract With the further market of RMB exchange rate formation mechanism, exchange rate’two-way floating amplitude expand gradually, the risk of commercial banks’currency mismatch alsoincrease. Through the analysis of six commercial banks’balance sheet, the paper analyzed the exchangerate sensitivity of net balance sheet, income statement and cash flow statement, and further expoundsthe factors influencing the asset liability mismatch and the possible risk. On this basis, the paperput forward suggestion to strengthen risk prevention against this background of Exchange rate fluctuationsincrease.
出处
《金融理论与实践》
北大核心
2014年第3期59-64,共6页
Financial Theory and Practice
基金
2013年度教育部人文社会科学研究青年基金项目"我国出口企业采用信用证结算的风险评价与决策研究"(13YJC630218)阶段性成果
关键词
商业银行
资产负债
货币错配
风险应对
commercial bank
balance sheet
currency mismatch
risk response
