Research on Interest Rate Risk of Commercial Banks After LPR Reform:Based on Stress Test
The marketization of interest rate which is market-oriented makes the fluctuation of interest rate unstable and difficult to predict.Interest rate risk is one of the main risks faced by commercial banks in our country,so it is necessary for bank managers to predict the possible change direction of interest rate,and then timely adjust the structural ratio of bank assets and liabilities,so that commercial banks can reduce the impact of interest rate risk to the minimum.Based on this background,this paper uses the methods of interest rate sensitivity gap and risk stress test to study the interest rate risks of China JS Bank,ZS Bank and NB Bank.The research finds that after the LPR reform,JS Bank and ZS Bank still have the ability to resist risks under the severe pressure scenario of an interest rate increase of 9.42%.However,NB Bank has a large risk exposure in the severe pressure scenario,and in this scenario,NB Banks ability to bear interest rate risk is uncertain.
interest rate riskcommercial bankssensitivity gapstress test
万方数据
