市场化银行利率风险管理方法研究

Study on the Methods of Interest Rate Risk Management in Marketization Banks

传统银行利率风险管理方法存在利率变化预测不准确,缺口调整困难的问题,为此,对利率市场化背景下银行利率风险管理方法展开了研究。通过对模型选取、样本选择以及对利率敏感性缺口数据收集,构建VAR风险管理模型,并通过实验验证,该管理方法利率变化准确、缺口调整合理,且速度快,可为金融衍生品风险管理提供有效途径。

There are problems that the prediction of interest rate changes is inaccurate and the gap is difficult to adjust in the tradi?tional bank IRR management methods.Therefore,this paper studies on the bank IRR management methods under the background of in?terest rate marketization.Based on the model selection,sample selection and the data collection of interest rate sensitive gap,VAR risk management model was built,and by experimental verification,it is a fast management method that has accurate interest rate changes and reasonable gap adjustment,which can provide effective ways for financial derivatives risk management.