我国商业银行利率风险识别与度量的实证研究

发布时间：2018-06-09 04:30

本文选题：利率市场化 + 商业银行　；参考：《山东大学》2013年硕士论文

【摘要】：20世纪70年代以来,在许多实施利率市场化改革的国家,相继出现了不同程度的银行业危机。究其原因,一方面由于利率市场化加大了利率水平波动的不确定性,另一方面由于商业银行本身对利率风险缺乏有效的防范与管理。随着近年来我国利率市场化改革进程的加快,利率风险也成为我国商业银行经营不可回避的问题。在此背景下,从风险识别的角度探讨我国商业银行所面临的利率风险,并对我国商业银行利率风险暴露的程度进行测度,对我国商业银行在新环境下管理利率风险无疑具有重要的理论和现实意义。本文采用了定性的方法对我国商业银行利率风险进行了识别研究。首先,利率市场化改革从利率水平频繁波动和总体上升两方面给我国商业银行带来了阶段性冲击,前者加大了商业银行收益价值和经济价值的不确定性,后者加大了商业银行资金的使用成本,并诱发信用风险和财政支出转嫁的问题；其次,从利率风险来源本身,我国商业银行“短借长贷”的操作方式、相对单一的资产负债结构以及期权性金融产品的广泛推出,导致其在利率不利变动时面临长期的风险暴露；最后,缺乏相应的利率衍生工具、盈利模式过于单一、利率风险管理体系建设滞后等问题的存在,则进一步加剧了我国商业银行面临的利率风险。同时,本文以我国同业拆借市场作为研究对象,选取2010-2012年隔夜拆借利率与商业银行拆借头寸数据,运用VaR模型度量了利率市场化环境下我国商业银行隔夜拆借资金的利率风险。实证分析表明,将GARCH模型引入VaR的计算中,可以较好的模拟收益率序列的分布特征；而VaR的计算结果表明,在利率频繁且剧烈波动的环境下,商业银行拆借资金总体上面临显著的利率风险,且不同类型商业银行由于拆借头寸水平管理的差异,风险暴露水平也不一致。文章分为五个部分。第1章为导言。第2章定义利率风险,并对商业银行利率风险识别与度量的国内外文献进行回顾。第3章定性识别我国商业银行面临的利率风险。第4章基于VaR模型与GARCH模型族理论,通过样本数据的检验分析,构建同业拆借市场隔夜拆借利率收益率的条件异方差模型,定量测度我国商业银行面临的利率风险。第5章为结论与对策建议。
[Abstract]:Since the 1970s, in many countries implementing interest rate marketization reform, there have been banking crises of different degrees. On the one hand, the marketization of interest rate increases the uncertainty of the fluctuation of interest rate level, on the other hand, the commercial banks lack effective prevention and management of interest rate risk. With the acceleration of interest rate marketization reform in recent years, interest rate risk has become an unavoidable problem for commercial banks in China. In this context, the paper discusses the interest rate risk faced by Chinese commercial banks from the perspective of risk identification, and measures the degree of interest rate risk exposure of commercial banks in China. It is undoubtedly of great theoretical and practical significance to manage the interest rate risk of commercial banks in our country under the new environment. This paper adopts qualitative methods to identify and study the interest rate risk of commercial banks in our country. First of all, the market-oriented interest rate reform has brought the stage impact to our commercial banks from the frequent fluctuation of interest rate level and the overall increase of interest rate level. The former has increased the uncertainty of the profit value and economic value of commercial banks. The latter increases the cost of using funds of commercial banks, and induces the problem of credit risk and transfer of financial expenditure. Secondly, from the source of interest rate risk itself, the operation mode of "short loan and long loan" in Chinese commercial banks is introduced. The relatively single asset-liability structure and the extensive introduction of option-based financial products lead to long-term risk exposure when the interest rate is unfavorable to change. Finally, due to the lack of corresponding interest rate derivatives, the profit model is too single. The lagged construction of interest rate risk management system has further aggravated the interest rate risk faced by commercial banks in China. At the same time, this paper takes the interbank lending market as the research object. Based on the data of overnight lending rate and commercial bank lending position in 2010-2012, this paper uses VaR model to measure the interest rate risk of Chinese commercial banks' overnight borrowing funds in the interest rate marketization environment. The empirical analysis shows that the GARCH model can be used to simulate the distribution characteristics of yield series in VaR, and the results of VaR show that, in the environment of frequent and volatile interest rate, the GARCH model can be used to simulate the distribution characteristics of yield series. Commercial banks generally face significant interest rate risk, and different types of commercial banks have different exposure levels due to the differences in the management of lending positions. The paper is divided into five parts. Chapter 1 is an introduction. Chapter 2 defines interest rate risk and reviews the domestic and foreign literature on interest rate risk identification and measurement of commercial banks. Chapter 3 qualitatively identifies the interest rate risk faced by Chinese commercial banks. In chapter 4, based on VaR model and GARCH model family theory, the conditional heteroscedasticity model of overnight interest rate return rate in interbank borrowing market is constructed through the test and analysis of sample data to quantitatively measure the interest rate risk faced by commercial banks in China. Chapter 5 is the conclusion and countermeasure.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F822.0

【参考文献】