Research on the Interest Rate Risk Management of Commercial Bank Based on F-W Duration Convexity Model
2014 ◽
Vol 644-650
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pp. 5825-5827
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With the pace of interest rate marketization reform accelerates, interest rate risk faced by commercial banks increasingly prominent, so a higher demand for its interest rate risk management capabilities is required. This article describes the type of interest rate risk, then use F-W Duration Convexity model to make an empirical analysis in five large commercial banks. The results show: the five large bank duration and convexity gap are all positive, when interest rates rise, the five bank NV will be reduced, interest rates decline, then increased. According to ΔNV/PA, ICBC CCB and ABC faced the biggest interest rate risk, BOC followed, BCM minimum.
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2014 ◽
Vol 4
(1)
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pp. 11-21
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2017 ◽
Vol 5
(1)
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pp. 15
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