国际上银行账户利率风险利率冲击情景研究

摘要

此次国际金融危机显示，以200个基点的平移利率冲击作为标准情景，无法有效捕捉银行账户中存在的各类利率风险。国内外监管部门不断尝试建立更为有效的风险计量方法，并在利率冲击情景设计方面有了较为重大的变化和改进。本文对利率冲击情景的最新监管探索进行了阐述，分析我国商业银行利率冲击情景的现状和挑战，提出了针对性的政策建议。%The global financial crisis (2007) shows that the standard 200 basis point parallel rate shock is incapable of capturing various interest rate risks in the banking book. The global regulatory authorities are consistently building more effective methods in measuring the interest rate risks, which brings significant improvements in the methodology of interest rate shock scenario design. This paper summarizes the latest regulatory explorations in the methodology of interest rate shock scenario design, analyzes the current situations and challenges that domestic commercial banks facing, and provides relative policy suggestions.