基于区块链背景下商行利率风险管理研究

Research on Interest Rate Risk Management of Commercial Banks under the Background of Blockchain

在区块链背景下,研究如何利用区块链技术管理研究商业银行利率风险。首先回顾国内商业银行利率的演变并阐述了现状,明确研究内容及方法。其次介绍区块链及商业银行利率风险管理的研究现状,区块链在银行利率风险管理中的应用以及银行利率风险的形成原因,如何识别、度量及管理。之后选用VaR模型,选取了上海银行间同业拆借利率中的隔夜拆借利率作为样本进行建模研究,得出利率的波动加大了利率风险的结论。最后建议加大对区块链技术的开发与应用。商业银行应利用区块链技术建设利率风险管控结构和加大银行间的风险管理。In the context of blockchain, study how to use blockchain technology to manage and study the interest rate risk of commercial banks. Firstly, it reviews the evolution of the interest rate of domestic commercial banks and expounds on the current situation, clarifying the research content and methods. Secondly, it introduces the research status of blockchain and interest rate risk management of commercial banks, the application of blockchain in bank interest rate risk management, the formation reasons of bank interest rate risk, and how to identify, measure and manage it. After that, the VaR model is selected, and the Shanghai interbank offered rate (SIBR) overnight offered rate is selected as the sample for modeling research, and the conclusion is drawn that the interest rate fluctuation increases the interest rate risk. Finally, it is suggested to increase the development and application of blockchain technology. Commercial banks should use blockchain technology to build interest rate risk control structure and increase risk management among banks.