银行账户利率风险国际新监管改革的实施与挑战

The Implementation and Challenge of New International Regulatory Reform on IRRBB

随着利率市场化的不断推进,利率风险管理在商业银行资产负债管理和风险防控中的重要性不断增强。本文对巴塞尔委员会最新发布的《银行账户利率风险监管标准》主要改革内容进行了深入分析,并结合目前我国商业银行实践,剖析了商业银行实施新监管标准面临的难点,建议商业银行借新监管标准实施之际,尽快开展银行账户利率风险管理升级工作,将利率风险纳入全面风险管理体系,全面提升银行账户利率风险管理水平。

Interest rate risk management is becoming more and more important in commercial banks＇ Assets ＆ Liabilities Management and risk management with interest rate liberalization. In this paper, through in-depth analysis of the Basel committee＇s latest report ＂Interest Rate Risk in the Banking Book＂ （IRRBB）, and comparison with the practice of interest rate risk management of commercial banks in China, we conclude that commercial banks is still facing many problems in interest rate risk measurement and management. Thus, to implement the new regulatory standards and adapt to interest rate liberalization, commercial banks should enhance their interest rate risk management skills, and integrate the interest rate risk into the enterprise-wide risk management system.