Then it offers some pieces of advice about technique construction and institution construction ; part two : the analysis of the problems about inner risk management and external supervision . then it gives suggestion in light of the practical station ; part three : the meaning and limitation in applying duration theory to interest rate risk management . based on the analysis , it takes modification ; part four : some policy suggestion to enhance the risk management level 文章的主要內容有以下幾個方面:第一,系統的研究我國商業銀行的利率風險的形成機理,提出利率風險管理的技術建設和制度建設的建議;第二,較為詳盡的研究我國商業銀行面臨的內部管理風險和外部監管問題,并提出相應的對策;第三,分析久期技術在商業銀行利率風險管理中的意義和局限,給出運用的途徑和部分修正方法;第四,對我國運用久期技術可行性及約束條件進行探討,提出相應的對策,并指出深化金融改革,提高市場化程度是準確度量并成功化解利率風險的最根本前提條件。
The article would have three conclusions : one , our commercial bank face huge interest rate risk because our inner management and external mechanism arrangement ; two , the most important factor is the irrationality of asset scheme ; three , apply the duration model to confirm the point and give some suggestions , which include strength the technique construction , regulate asset scheme and reform bank ’ s management system 文章將要得出的基本結論有:一,由于自身管理與外在的體制安排等因素,我國商業銀行面臨著較大的利率風險;二,我國商業銀行的利率風險主要成因是資產配置不合理;三,通過運用久期模型進行實證分析進一步說明文中觀點,給出我國商業銀行利率風險管理的對策。其中,主要的是加強利率風險管理的技術建設,合理調整資產配置,以及相應的改革銀行風險管理體系。