基于久期缺口模型的商业银行利率风险测度

Measuring Interest Rate Risks of Commercial Banks Based on the Duration Gap Model

利率风险暴露是商业银行经常面临的问题之一,而做好风险管理工作的前提是准确度量。本文选取12家不同规模的商业银行,利用久期缺口模型对其所要面临重新定价的资产负债结构进行分析研究。结果表明:(1)国有商业银行的久期缺口普遍小于城市商业银行。(2)国有商业银行因其较大的资产规模在久期缺口存在的情况下面临较大的利率风险。(3)样本内商业银行均具有正的久期缺口,当市场利率上升时将面临净值损失。

Exposure to interest rate risks is one of the problems that commercial banks often face,and the prerequisite for good risk management is to be able to measure accurately.In this paper,12 commercial banks of dif ferent sizes are selected to analyze their asset-liability structures that need repricing with the duration gap model.The results show that first,the duration gap of state-owned commercial banks is generally smaller than that of urban commercial banks;second,state-owned commercial banks face larger interest rate risks with the duration gap due to their larger asset size;third,commercial banks in the samples all have positive duration gaps and will face net value losses when market interest rates rise.