發(fā)布時間：2018-03-15 16:58

  本文選題：利率風(fēng)險　切入點：識別和度量　出處：《云南財經(jīng)大學(xué)學(xué)報》2010年05期 　論文類型：期刊論文

【摘要】：中國銀行業(yè)面臨著前所未有的利率風(fēng)險的巨大挑戰(zhàn),提升國內(nèi)商業(yè)銀行的利率風(fēng)險管理能力,是一個極具現(xiàn)實緊迫性的課題,而系統(tǒng)、動態(tài)地識別和度量利率風(fēng)險,又是我國商業(yè)銀行利率風(fēng)險管理面臨的首要問題。對我國商業(yè)銀行利率風(fēng)險的具體表現(xiàn)形式進行闡述,并以商業(yè)銀行的實際缺口數(shù)據(jù)為基礎(chǔ),進行簡單缺口、基準(zhǔn)風(fēng)險、利率敏感度、壓力測試等方面的實證分析;對利率波動造成的商業(yè)銀行債券資產(chǎn)價值損失進行估算;并結(jié)合我國的利率體制、銀行業(yè)的資產(chǎn)負債結(jié)構(gòu)以及新《企業(yè)會計準(zhǔn)則》的實施等因素進行了深入分析。
[Abstract]:China's banking industry is facing a huge challenge of unprecedented interest rate risk. It is a realistic and urgent task to enhance the interest rate risk management ability of domestic commercial banks, and systematically, dynamically identify and measure interest rate risk. It is also the most important problem that our country commercial bank interest rate risk management faces. This paper expounds the concrete manifestation form of our country commercial bank interest rate risk, and based on the actual gap data of the commercial bank, carries on the simple gap, the benchmark risk, The empirical analysis of interest rate sensitivity, stress test and so on; to estimate the value loss of commercial bank bond assets caused by interest rate fluctuation; and to combine the interest rate system of our country, The assets and liabilities structure of the banking industry and the implementation of the new Accounting Standards for Enterprises are analyzed in depth.
【作者單位】： 云南財經(jīng)大學(xué)金融學(xué)院;云南財經(jīng)大學(xué)體育部;
【分類號】：F832.33

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相關(guān)重要報紙文章 前1條

1 記者 秦宏;央行提示風(fēng)險 長債應(yīng)聲回落[N];上海證券報;2005年

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