基于久期模型的工商银行利率风险研究
Research on Interest Rate Risk of Industrial and Commercial Bank Based on Duration Model

利率风险是银行在经营过程中面临的主要风险之一，它源于市场利率的变动对银行资产和负债价值的影响，因此，有效管理利率风险对于银行的稳健运营至关重要。工商银行作为中国最大的商业银行之一，其资产规模庞大，业务范围广泛，面临的利率风险也更为复杂。本文以中国工商银行为研究对象，通过获取工商银行2021~2023年的财务报表数据，并运用久期模型来计算中国工商银行资产负债表中资产和负债的久期和凸性，以此来评估中国工商银行面临的利率风险并提出相应的建议，研究结果表明，中国工商银行面临一定利率风险，银行应通过改善资产负债管理策略、合理运用久期免疫策略、使用对冲工具等方式进行风险管理。本文涉及利率风险管理的研究，能够给商业银行决策者提出相应的建议，具有较强的现实意义。
Interest rate risk is one of the main risks that banks face in the course of operation. It comes from the impact of market interest rate changes on the value of bank assets and liabilities. Therefore, effective management of interest rate risk is crucial to the sound operation of banks. As one of the largest commercial banks in China, ICBC has a large scale of assets, a wide range of business, and the interest rate risk it faces is more complex. This paper will take Industrial and Commercial Bank of China as the research object. By obtaining financial statement data of Industrial and Commercial Bank of China from 2021 to 2023, and using the duration model to calculate the duration and convexity of assets and liabilities in the balance sheet of Industrial and Commercial Bank of China, this paper will evaluate the interest rate risk faced by Industrial and Commercial Bank of China and put forward corresponding suggestions. The research results show that the Industrial and Commercial Bank of China is faced with certain interest rate risk. The bank should improve the asset liability management strategy, rationally use the duration immunization strategy, and use hedging tools to manage the risk. This paper involves the research of interest rate risk management, which can give corresponding suggestions to the decision makers of commercial banks, and has strong practical significance.