商业银行利率风险管理探析（Discussion on interest rate risk management of commercial bank）.docVIP

商业银行利率风险管理探析（Discussion on interest rate risk management of commercial bank） Discussion on interest rate risk management of commercial bank [Author: YY thesis net source: Click: 9 update time: 2011-04-03] Abstract: The interest rate is one of the most important variables in the financial market, with the marketization of interest rates accelerated, interest rate uncertainty of the assets, liabilities and items of commercial banks is more sensitive to the interest rate increase, interest rate risk awareness of individual customers also increases, coupled with the present stage of our country for customers early repayment default behavior is also a lack of policy restrictions, so the embedded option risk in commercial banks China have become increasingly prominent, the urgent need to carry out the commercial bank interest rate risk management with embedded option project. This paper mainly introduces the effective duration, duration gap and option adjusted spread method of interest rate risk of implicit options, and gives some suggestions for risk management control. Keywords: gap management; effective duration; option adjusted spread; implicit option risk; control CLC number: F83, document identification code: A I. Introduction Hidden option risk is one of the forms of option risk. It may be derived from the relevant provisions of the financial law in many countries, but most existing in the bank and the customer sign the terms of the agreement, and is increasingly becoming a bank means to attract customers, non standardized terms and is not transferable to maturity more flexible to meet the needs of both the liquidity demand. In accordance with the present provisions of our country, the commercial bank customer has the right to withdraw funds or repayment of borrowing, and the two sides signed the specific contract, often retain a part of the right to choose, so that market dramatic changes can exercise the option and avoid loss. For banks, the interest rate increas