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本文主要研究利率市场化后我国大中小型商业银行的利率风险,运用利率敏感性方法和Va R方法,发现我国大型国有商业银行的利率风险无论在绝对值方面还是在相对值方面都比股份制商业银行和城市商业银行风险高,并表现出逐年升高的趋势,但是综合考虑自身总资产的因素后,中国商业银行各自对自身利率风险在承受范围之内。总体来看,利率市场化后,我国商业银行的利率风险是增大的,因此,我国商业银行应加强利率风险管理。
This paper mainly studies the interest rate risk of large, medium and small commercial banks after interest rate liberalization. By using the interest rate sensitivity method and the VaR method, it is found that the interest rate risk of China’s large state-owned commercial banks is higher than that of joint-stock commercial enterprises in terms of absolute value and relative value Banks and city commercial banks are at high risk and show a trend of increasing year by year. However, considering the factors of their total assets, China’s commercial banks are each willing to bear their own interest rate risks. Generally speaking, the interest rate risk of commercial banks in our country increases after the interest rate is marketized. Therefore, commercial banks in our country should strengthen the interest rate risk management.