利率市场化条件下商业银行利率敏感性风险和结构性风险分析

发布时间：2018-03-06 23:30

本文选题：利率市场化　切入点：利率敏感性风险　出处：《长沙理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着利率市场化的发展，利率管制权不再掌握在政府手中，而是随着市场供求关系的变化，基准利率也发生变化，利率水平与均衡市场的利率水平不断接近，促进了国家经济的健康发展。然而，由于市场机制不完善、产权改革仍不清晰、金融市场较为落后、金融机构环境适应性差等原因，不稳定的市场利率环境会给商业银行带来很大的伤害，直接影响其利差收入，使得商业银行市场价值降低，而在宏微观环境的波动中，市场利率也在不断变化，利率风险成为商业银行面临的最大威胁，在这些威胁中，尤以利率敏感性风险和利率结构性风险更为突出。西方商业银行在发展过程中充分认识利率风险管理的重要性，为有效防止由于市场利率环境波动引起的利率波动风险做了大量工作，相比而言，我国的利率市场在很长一段时期处于管制状态，，利率发生波动时我国商业银行反应比较迟缓，波动对经营效益影响不大，所以长期以来我国商业银行对利率敏感性风险和结构性风险的重视程度不够，风险管理意识较为淡薄，并未仔细研究利率风险管理技术及方法，使得我国商业银行抵御利率风险能力较差，若不引起重视，商业银行在金融市场的地位和存在价值将会受到很大威胁。所以商业银行对于利率风险的调控、管理能力和水平对于其在金融行业的竞争起着至关重要的作用。利率敏感性风险和结构性风险是利率风险中最基础和最重要的风险种类。本文以这两个风险为切入点，采用利率敏感性缺口模型分析商业银行利率敏感性风险，研究存贷款利率变化所引起的结构性风险的变化，利用久期-凸度模型实现对利率敏感性风险和结构性风险的动态分析。希望能从小角度出发，纵观我国商业银行的风险管理体系，指出利率市场化的条件下所面临的利率风险问题，提出规避利率敏感性和结构性风险、提高商业银行竞争力的一系列对策。
[Abstract]:With the development of interest rate marketization, interest rate control power is no longer in the hands of the government, but with the change of the market supply and demand relationship, the benchmark interest rate also changes, the interest rate level and the equilibrium market interest rate level are close to each other. It has promoted the healthy development of the national economy. However, due to the imperfect market mechanism, the unclear property rights reform, the backward financial market, the poor adaptability of financial institutions, and so on, The unstable market interest rate environment will bring great harm to the commercial banks, which will directly affect the interest rate difference income of the commercial banks, which will reduce the market value of the commercial banks, and the market interest rate will also be changing constantly in the fluctuation of macro and micro environment. Interest rate risk has become the biggest threat to commercial banks, especially interest rate sensitive risk and interest rate structural risk. Western commercial banks fully understand the importance of interest rate risk management in the process of development. A great deal of work has been done to effectively prevent the risk of interest rate fluctuation caused by the fluctuation of market interest rate environment. In contrast, the interest rate market in our country is in a regulated state for a long time, and when the interest rate fluctuates, the commercial banks in our country react slowly. The fluctuation has little influence on the operation benefit, so for a long time, the commercial banks in our country have not paid enough attention to the interest rate sensitive risk and the structural risk, and the risk management consciousness is relatively weak, and they have not studied the interest rate risk management technology and method carefully. It makes our commercial banks have poor ability to resist interest rate risk. If we do not pay attention to it, the position and value of commercial banks in the financial market will be greatly threatened. Therefore, the regulation and control of interest rate risk by commercial banks, Management ability and level play a vital role in the competition in the financial industry. Interest rate sensitivity risk and structural risk are the most basic and important risk types in interest rate risk. This paper studies the change of structural risk caused by the change of deposit and loan interest rate, and realizes the dynamic analysis of the sensitive risk and structural risk of interest rate by using the duration-convexity model. Looking at the risk management system of commercial banks in China, this paper points out the problems of interest rate risk under the condition of marketization of interest rate, and puts forward a series of countermeasures to avoid the sensitivity and structural risks of interest rate and to improve the competitiveness of commercial banks.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.33

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