Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter
分析巴塞尔委员会标准化框架在量化银行利率风险时的稳健性，发现其假设对估计结果影响很大，提醒监管和风险管理中应谨慎使用该框架。
Abstract This paper analyses the robustness of the standardised framework proposed by the Basel Committee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalise this framework and study the change in the estimated level of interest rate risk if the strict assumptions of the standardised framework are violated. Using data on the German universal banking system, we find that estimates of the interest rate risk are very sensitive to the framework's assumptions. We conclude that the results obtained using the standardised framework in its current specification should be treated with caution when used for supervisory and risk management purposes.