基于利率市场化改革的M银行资产负债管理问题研究

发布时间：2018-02-04 08:33

本文关键词： 利率市场化资产负债管理利率风险　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：央行重启利率市场化改革，对商业银行资产负债管理提出了严峻考验。在利率市场化进程中，一方面，商业银行利率风险急剧加大；另一方面，商业银行利率风险管理能力和资产负债管理经验不足，以利差为主的盈利模式面临考验。因此，为了提升我国商业银行利率风险管理能力和资产负债管理能力，本文通过研究国内外商业银行利率市场化改革和资产负债管理等相关理论和实践，综合运用案例分析、历史分析、对比分析、利率敏感性缺口分析等分析方法，分析论证了我国商业银行资产负债管理的现状以及存在的主要问题，提出了我国商业银行应对利率市场化改革的有效策略。本文在利率市场化和资产负债管理理论研究的基础上，通过分析M银行利率市场化背景下资产负债管理的现状，提出了改进和完善我国商业银行资产负债管理的主要策略。第一章是绪论，从论题的选取和论题的意义两个方面，对国内外资产负债方面文献进行了回顾总结，并阐述文章的研究方法与框架；第二章为利率市场化改革和资产负债管理进程，，阐述了利率市场化和资产负债管理的相关理论和主要方法。引出了利率市场化和资产负债管理的定义及一般原理，以及与利率风险管理相关的资产负债管理方法，并在此基础上分析了利率市场化对商业银行资产负债管理的影响。第三章为M银行资产负债管理现状以及存在的主要问题，以案例分析的方式，介绍了M银行的基本情况和经营现状，在对M银行资产负债总量和结构进行分析的基础上，提出了M银行在资产负债管理中存在的主要问题。同时对国外商业银行利率市场化进程中如何加强资产负债管理进行了具体阐述。第四章为利率市场化下我国商业银行资产负债管理应对策略，提出了我国商业银行资产负债管理应对利率市场化改革的主要策略。主要包括四方面内容:一是明确和强化资产负债管理的目标和基本理念；二是加强资产负债产品组合管理；三是加强资产负债产品定价管理；四是加快推进金融创新。最后为本文的结论部分，通过系统的研究和分析，本文得出如下结论：一是M银行经营业绩和管理水平相对较高，但与区域内大型上市银行、西方主流商业银行和监管要求相比仍存较大差距；二是利率市场化改革使国内商业银行机遇与挑战并存；三是商业银行要通过合理设置利率风险敞口来有效规避利率风险；四是加强资产负债管理对于提升商业银行整体经营管理水平具有重大意义。
[Abstract]:When the central bank restarts the reform of interest rate marketization, it puts forward a severe test to the management of assets and liabilities of commercial banks. In the process of interest rate marketization, on the one hand, the interest rate risk of commercial banks increases sharply; On the other hand, the interest rate risk management ability of commercial banks and asset liability management experience is not enough, the profit model based on interest rate difference is facing the test. In order to improve the ability of interest rate risk management and asset liability management of Chinese commercial banks, this paper studies the domestic and foreign commercial banks interest rate marketization reform and asset liability management and other related theories and practices. Comprehensive use of case analysis, historical analysis, comparative analysis, interest rate sensitivity gap analysis and other analytical methods, analysis and demonstration of the current situation of China's commercial banks asset liability management and the main problems. This paper puts forward some effective strategies for Chinese commercial banks to deal with the reform of interest rate marketization. Based on the research of interest rate marketization and asset-liability management theory, this paper analyzes the current situation of asset liability management under the background of M bank interest rate marketization. This paper puts forward the main strategies to improve and perfect the asset liability management of commercial banks in China. The first chapter is the introduction, from the selection of topics and the significance of the topic, the domestic and foreign asset liability literature is reviewed and summarized. And expatiate the research method and frame of the article; The second chapter is interest rate marketization reform and asset-liability management process. This paper expounds the relevant theories and main methods of interest rate marketization and asset-liability management, and introduces the definition and general principle of interest rate marketization and asset-liability management. And the asset liability management method related to interest rate risk management. On this basis, this paper analyzes the impact of interest rate marketization on asset liability management of commercial banks. Chapter three is the current situation and main problems of asset liability management in M bank, with the method of case study. This paper introduces the basic situation and management status of M Bank, and analyzes the total amount and structure of assets and liabilities of M Bank. This paper puts forward the main problems of M Bank in the management of assets and liabilities. At the same time, it expounds in detail how to strengthen the management of assets and liabilities in the process of interest rate marketization of foreign commercial banks. Chapter 4th is the business of our country under the interest rate marketization. The coping strategy of assets and liabilities management of industrial banks. This paper puts forward the main strategies for the management of assets and liabilities in China's commercial banks to reform the marketization of interest rates. It mainly includes four aspects: first, to clarify and strengthen the objectives and basic concepts of asset liability management; Second, strengthen the asset liability product portfolio management; Third, strengthen asset liability product pricing management; Fourth, speed up the promotion of financial innovation. The last part is the conclusion of this paper, through systematic research and analysis, this paper draws the following conclusions: first, M bank operating performance and management level is relatively high, but with large listed banks in the region. There is still a big gap between western commercial banks and regulatory requirements; Second, the reform of interest rate marketization makes domestic commercial banks have both opportunities and challenges; Thirdly, commercial banks should avoid interest rate risk effectively by setting up interest rate risk exposure reasonably; Fourth, strengthening the management of assets and liabilities is of great significance to enhance the overall management level of commercial banks.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2

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