利率風險係價格風險之一種,所謂利率風險,嚴格來講,包括風險衡量及管
理兩大層面,兩者相輔相成.衡量銀行利率風險的方法,主要有:到期日缺口
模型及存續期間缺口模型兩種;而利率風險管理方法一般分為組織性質與
金融性質兩種.本文運用個案研究法,分別探討一家具代表性的本國銀行與
外商銀行之風險管理現況,並加以比較分析後得到如下之結論: 一.利率
風險管理在本國銀行方面,作業方式流於被動,其效能及地位顯未獲應有之
重視. 二.本國銀行總行未設置風險管理部門,且利率風險管理僅涵蓋新
台幣未及於外幣部份, 另相關業務尚未完全電腦化處理. 三.利率風
險管理知識與技術是金融監理機構提昇監理效能之利器. 四.新台幣利率
風險管理之管道過於狹窄. 五.外商銀行運用到期日缺口模型時,因考慮
統計理論之機率變數,使模型更加精緻化. 六.無論本國或外商銀行(在台
分行)因種種主客觀環境的限制及考量,並未採行存續期間缺口模型.

Interest rate risk is a kind of price risk; so-called interest
rate risk management, strictly speaking, is made of risk
measurement and risk management two level. The method of
measuring interest rate risk mainly consists ofmaturity gap
model and duration gap model; yet, the method of
managinginterest rate risk is generally divided into
organizational and financialtwo functions. This thesis using
the method of case study, respectively investigates the
conditions of two typical local bank and foreign bank,
andderives several conclusions as below: 1. Local bank''s
attitude toward interestrate risk management is very passive;
hence, it''s efficiency and status do notobtain reasonable
emphasis. 2. The head office of local bank does not set up
independent risk management department; interest rate risk
management doesnot cover foreign currency field; in addition,
relative activities are notcomputerized. 3. The knowledge and
technics of interest rate risk managementare powerful tool for
promoting the effect of financial monitoring of Taiwanesecentral
bank or MOF. 4. Methods for NT dollar interest rate risk
managementare too few. 5. Foreign bank uses maturity gap model
considering the probabilityvariable of statistics theory; make
the model more subtle. 6. According to manyenviromental
restrictions, both local and foreign bank do not adopt duration
gap model.