摘要
自 20 世纪以来，欧美等一些国家逐步放宽了针对金融市场的管制，利率市场化
逐步得到推进，在这种情况下，利率的变动越来越快，很大程度上对银行的利润产生
了冲击，进而使得银行面临的利率风险逐步加大。特别是 2008 年以来，国际金融市
场的波动进一步加大，利率和汇率两者之间的关联进一步凸显，使得商业银行的经营
环境变得更为复杂和严峻，商业银行所承受的市场风险、特别是利率方面的风险不断
加剧，这种形势促使银行必须重视和加大针对利率风险管理。巴塞尔委员会也针对利
率风险管理出台了 12 条原则，反映了对利率风险的管理已经成为国际共识，并将成
为各个国家的监管部门对银行实施相关监管的重要内容。

我国虽然利率市场化的进程在逐步加快，但是利率波动范围依然没有完全放开，
且利率管制方面的政策性因素依然较重，同时，国内的银行尤其是国有商业银行在市
场化的程度方面还有待提高，对利率风险管理的重视程度还没有得到足够意义上的体
现。在这种形势之下，国内的银行很有必要学习国际上先进银行管理利率风险的一些
做法，充分参照他们针对利率风险管理的成功经验，并以此为基础，研究符合国内商
业银行实际的利率风险管理的方法和系统，使国内银行所承受的利率风险得到较为有
效的降低。

本文在开篇首先介绍了利率风险及其管理原则，接着从管理的意识、手段、风险
的量化等方面分析了国内商业银行管理的现状，随后对商业银行利率风险的预测与度
量方法进行了分析，然后探讨了与之相关的一些金融工程方法，对其在中国的适用性
进行了评述，最后从金融环境的建设、金融工程方法的运用、金融电子化的建设、资
产负债的管理、利率预测机制和产品定价完善以及人才培养等方面提出了相应的利率
风险管理的应对之策。

主题词：利率市场化 利率风险 利率风险管理

Abstract
Since the 1970s, the western developed countries have relaxed financial regulation,
the interest rate gradually liberalized, the market interest rates frequently fluctuate and
seriously affect the growth of banks' earnings, the commercial banks faced great interest
rate risk, especially since 2008, the international financial market turmoil intensified, the
linkage effects of the exchange rate and interest rate have become increasingly obvious, all
this made huge changes to the internationalized modern commercial banks. The market
risk, especially the interest rate risk further increased, so that commercial banks generally
need to strengthen the management of interest rate risk. The Basel committee also made
the 12 basic principles of interest rate risk management; this shows that the interest rate
risk management will become the main part of evaluation of commercial bank
management by financial supervisory authority.
Although the process of interest rate marketization in China gradually accelerated, the
interest rate fluctuation range is still not completely open, with a strong policy factors, and
low degree of marketization of China's commercial Banks, especially state-owned
commercial Banks, the interest rate risk management has not really appreciated by the
banks. In this situation, China's commercial banks need to learn interest rate risk
management technology urgently from foreign countries, and absorb successful risk
management experiences of foreign banks, and on this basis to explore the interest rate risk
management technology and system in our countries, to reduce the risk of our commercial
banks.
This article first introduces the interest rate risk and its management principles, and
then to analyze the methods of prediction and measurement of interest rate risk, and then
discusses the methods of financial engineering of interest rate risk management,
meanwhile reviews its applicability in China, and then analyze present situation of
commercial bank management in china from the aspect of risk management consciousness,
methods, quantitative risk etc. Finally puts forward the countermeasures of interest rate
risk management from the aspect of financial environment construction, financial
engineering application, financial electronic construction, assets and liabilities
management, interest rate prediction mechanism and product pricing improvement and
personnel training in interest rate risk management and so on.
Key Words：Market-oriented reform of interest rate system Interest rate risk
Rate risk Management