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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
    為此,本文首先考察了我國(guó)利率市場(chǎng)化的現(xiàn)狀,并分析了利率市場(chǎng)化對(duì)我國(guó)商業(yè)銀行的影響;接著,本文分三步程序?qū)ξ覈?guó)商業(yè)銀行的利率風(fēng)險(xiǎn)管理問題進(jìn)行了深入而系統(tǒng)地研究:第一步,對(duì)利率市場(chǎng)化給我國(guó)商業(yè)銀行帶來(lái)的利率風(fēng)險(xiǎn)進(jìn)行分析,并根據(jù)巴塞爾委員會(huì)1997年發(fā)布的《利率風(fēng)險(xiǎn)管理原則》將其細(xì)分為資產(chǎn)負(fù)債差額風(fēng)險(xiǎn)、基差風(fēng)險(xiǎn)、收益曲線風(fēng)險(xiǎn)和潛在選擇權(quán)風(fēng)險(xiǎn);第二步,對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)測(cè)度的方法進(jìn)行研究,即利率敏感性資金缺口法、持續(xù)期缺口法以及凸性分析法;第三步,對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)控制的方法進(jìn)行研究,即表內(nèi)方法和表外方法。
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