An Analysis of the Effect and Risks of Interest Rate Swaps on Bank Asset-Liability Management

摘要：

　　Nowadays, due to the excessive credit expansion and the overheating economic growth, it is of great possibility that interest rate hikes will emerge.Chinas financial institutions, especially the commercial banks who underwriting bonds should take advantage of interest rate swaps to convert the fixed-income bonds into floating-income bonds, that is, after interest rate swaps, they pay fixed interest rate but receive floating interest rate.Thus, the interest rate-sensitive assets could match the interest-sensitive liabilities in order to avoid the risk of interest rate hikes.The paper will briefly discuss interest rate swap and its effects.

关键词： Interest rate swap Commercial bank Asset-liability management Risk management

作者: Hu Bin

作者单位: Candidate of Philosophy, International College (Sunzhou Research Institute), The School of Finance, Renmin University of China, Suzhou, P.R.China, 215123

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 64-68

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）