利率市场化背景下利率敏感性缺口分析与改善

发布时间：2018-05-18 17:39

本文选题：利率市场化 + 利率风险管理　；参考：《复旦大学》2013年硕士论文

【摘要】：随着我国利率市场化的程度越来越深,利率风险在商业银行的风险管理的地位越来越突出。利率敏感性缺口分析由于其简单易行的特点,在银行间广为使用。巴塞尔银行监管委员会于1997年9月发布了《利率风险管理与监管原则》,其中对利率敏感性缺口分析法做了详细的阐述。我国银行监管委员会也制定了《利率重新定价风险情况表》对商业银行利率风险进行监管控制。正因为利率敏感性缺口的广泛应用,本文对该方法进行了一定研究和改进。本文首先对利率水平决定理论,影响利率变动因素,利率风险形成的原因和影响以及初步的利率风险管理方法等进行了简单介绍,总结了前人的理论基础。其次介绍了我国逐步放宽利率管制的过程。在此基础上,通过我国五大商业银行的年报数据对利率敏感性缺口方法进行了实证分析。重点针对利率敏感性缺口分析法的假设进行了实证和理论分析。第一,利用我国2008-2012年央行存贷款基准利率的数据计算历次不同期限的存贷款利率变化幅度,从实证分析的角度证明了我国利率水平变化并不符合利率平行变化的假设。第二,通过理论分析对另外两个假设的成立条件进行了分析。针对以上分析出的问题,一方面对利率敏感性缺口分析法进行了改进,另一方面对上市商业银行的年报披露内容进行了一定的补充规范。
[Abstract]:With the deepening of interest rate marketization in China, interest rate risk is playing an increasingly important role in the risk management of commercial banks. Interest rate sensitivity gap analysis is widely used among banks because of its simple and convenient characteristics. The Basel Committee on Banking Supervision issued the principles of interest rate risk Management and Supervision in September 1997, in which the gap analysis of interest rate sensitivity was elaborated in detail. The bank supervision committee of our country has also made the "interest rate repricing risk statement" to supervise and control the interest rate risk of commercial banks. Because of the wide application of interest rate sensitivity gap, the method is studied and improved in this paper. This paper firstly introduces the theory of determining the level of interest rate, the factors influencing the change of interest rate, the cause and influence of interest rate risk, and the preliminary method of interest rate risk management, and summarizes the theoretical basis of predecessors. Secondly, it introduces the process of relaxation of interest rate regulation in China. On this basis, the empirical analysis of interest rate sensitivity gap method is carried out through the annual report data of five major commercial banks in China. Focus on the interest rate sensitivity gap analysis of the assumptions of empirical and theoretical analysis. First, using the data of the central bank's benchmark deposit and loan interest rate from 2008 to 2012, we calculate the range of deposit and loan interest rates of different maturities, and prove from the perspective of empirical analysis that the change of interest rate level does not accord with the hypothesis of parallel change of interest rate. Second, through theoretical analysis, the other two hypotheses are analyzed. In view of the above problems, on the one hand, the interest rate sensitivity gap analysis method is improved; on the other hand, the disclosure content of listed commercial banks' annual report is supplemented with certain standards.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

【参考文献】