我国商业银行利率风险的度量与防范研究

发布时间：2018-05-02 02:32

本文选题：商业银行 + 利率风险　；参考：《郑州大学》2013年硕士论文

【摘要】：利率变动不仅影响到银行贷款和证券的收益,还会影响到存款和向其他金融机构借款的成本。不仅如此,利率的变动还会改变银行资产和负债的市值,进而改变银行的净资产,影响到股东的收益。 1997年以来我国利率波动更为频繁,商业银行面临的利率风险也越来越大,这给专门从事资金业务的银行带来了巨大的冲击和挑战。商业银行要在竞争中取胜,很重要的方面取决于利率背后的资金成本和收益以及资产运营效益。我国在利率管理的课题上,无论是理论研究还是实践操作都还不完善。本文首先介绍了一般的利率风险管理理论,并在商业银行利率风险管理模型的基础上,研究我国商业银行利率风险管理现状,指出其不足和改进的方法。本文首先研究了利率波动对商业银行经营的风险；其次,介绍了目前国际商业银行成熟的利率风险度量模型；再次,以2009-2012年我国八家上市商业银行的财务数据为数据来源,运用利率敏感性缺口模型和VAR模型对相关的利率风险状况进行实证研究,并由此发现商业银行利率风险管理中存在的问题；最后,得出本文结论,并针对商业银行利率风险度量和防范提出对策建议。通过本文的分析可知,我国商业银行利率风险度量方法有限,要必要结合多种方式度量利率风险水平和研究商业银行利率风险管理状况。商业银行普遍存在资产和负债结构不匹配的问题,面临较大的利率风险。商业银行利率风险防范不够灵活,存在较大的短借长贷现象。面对这些问题,我们从商业银行内部和利率市场环境两个方面提出度量和防范利率风险的对策建议。一方面,商业银行需要提高利率风险防范能力,另一方面,政府要塑造良好的利率市场环境。
[Abstract]:Interest rate movements affect not only the return on bank loans and securities, but also the cost of deposits and borrowing from other financial institutions. Not only that, the change in interest rates will also change the bank's assets and liabilities of market value, thereby changing the bank's net assets, affecting shareholders' income. Since 1997, the interest rate fluctuates more frequently in our country, and the interest rate risk faced by commercial banks is more and more great, which brings great impact and challenge to the banks specializing in capital business. In order to win the competition, commercial banks depend on the capital cost and income behind the interest rate and the benefit of assets operation. Both theoretical research and practical operation are not perfect in the subject of interest rate management in China. This paper first introduces the general theory of interest rate risk management, and on the basis of the interest rate risk management model of commercial banks, studies the present situation of interest rate risk management of commercial banks in China, and points out its shortcomings and improved methods. This paper first studies the risk of interest rate fluctuation to commercial banks; secondly, introduces the current mature international commercial banks' interest rate risk measurement model; thirdly, takes the financial data of eight listed commercial banks in China from 2009-2012 as the data source. Using the interest rate sensitivity gap model and VAR model to carry on the empirical research to the related interest rate risk condition, and from this discovered the commercial bank interest rate risk management existence question; finally, draws the conclusion of this article, And puts forward the countermeasure suggestion to the commercial bank interest rate risk measurement and the guard. Through the analysis of this paper, we can know that the interest rate risk measurement method of our commercial banks is limited, it is necessary to combine various ways to measure the interest rate risk level and to study the situation of the commercial bank interest rate risk management. Commercial banks generally have mismatch between assets and liabilities and face higher interest rate risk. Commercial bank interest rate risk prevention is not flexible, there is a large short loan long-term phenomenon. In the face of these problems, we put forward countermeasures and suggestions to measure and prevent interest rate risk from two aspects of commercial banks' internal and interest rate market environment. On the one hand, commercial banks need to improve the ability of interest rate risk prevention, on the other hand, the government should create a good interest rate market environment.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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