Abstract:

Since China has not yet experienced a banking crisis, the measurement of the risk of the banking system has poses a challenge. This paper uses the KMV model to calculate the default probability of each listed commercial bank as the indicator of systemic risk. Then, this probability is used to estimate the interest risk exposure to 1-year, 2-year, 5-year, and 10-year interest rate, based on which, a study is conducted on whether or not Chinese listed commercial banks have lowered their interest risk exposure when using interest derivatives. It is found that, as the nominal value of interest derivatives increases, the interest risk exposure decreases. However, the performance of these banks varies. The state-owned commercial banks behave relatively worse than joint-stock commercial banks.

Key words: interest risk exposure, interest swap, interest derivatives

摘要：

由于中国尚未爆发过银行业危机，因而如何测度银行体系风险是一个挑战。使用KMV模型测度的违约概率作为中国银行体系风险的指标。使用所测度的违约概率估算商业银行对1年、2年、5年和10年国债收益率的利率风险敞口。在此基础上研究商业银行利率衍生工具的运用是否降低了利率风险敞口。结论表明，利率衍生工具名义价值越高，利率风险敞口越低，但各个商业银行表现并不一致。国有大型商业银行降低利率风险敞口的表现略差于股份制商业银行。

关键词: 利率风险敞口, 利率互换, 利率衍生工具