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convexity analysis中文是什么意思

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  • Therefore, the dissertation firstly reviews the status quo of the innovation of the interest rate liberalization and analyzes the impacts of the interest rate liberalization imposed to the commercial banks . then the dissertation thoroughly and systematically studies the management of interest rate risk in the three following steps : firstly, the dissertation analyzes the interest rate risk imposed to the commercial banks and subdivides the interest rate risk into the balance risk between assets and liabilities the basic risk the yield curve risk and the embedded option risk according to the principles for the management of interest risk issued by bis in 1997 . secondly, the dissertation thoroughly and systematically studies the measuring methods of interest rate risk, which are named as rate-sensitive fund gap analysis macaulay's duration gap analysis and convexity analysis
    为此,本文首先考察了我国利率市场化的现状,并分析了利率市场化对我国商业银行的影响;接着,本文分三步程序对我国商业银行的利率风险管理问题进行了深入而系统地研究:第一步,对利率市场化给我国商业银行带来的利率风险进行分析,并根据巴塞尔委员会1997年发布的《利率风险管理原则》将其细分为资产负债差额风险、基差风险、收益曲线风险和潜在选择权风险;第二步,对商业银行利率风险测度的方法进行研究,即利率敏感性资金缺口法、持续期缺口法以及凸性分析法;第三步,对商业银行利率风险控制的方法进行研究,即表内方法和表外方法。
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Last modified time:Mon, 11 Aug 2025 00:29:56 GMT

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