长沙银行利率风险管理研究

发布时间：2018-01-07 04:29

本文关键词：长沙银行利率风险管理研究　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：由于我国长期来的利率管制,利率市场化使得利率波动更频繁且难预测,由此商业银行面临着严峻的利率风险,如果不加防范,商业银行将可能遭遇损失。基于此,本文以长沙银行为研究对象,通过搜集其2009年至2011年年报数据,对其近三年利率风险管理状况进行了实证研究。文章主要做了如下四方面的工作：第一,阐述了商业银行利率风险以及利率风险管理的基本概念,为后续研究奠定理论基础；第二,对国内商业银行利率风险概况进行了阐述,总结了常用的利率风险管理模型：利率敏感性缺口模型、持续期缺口模型、VaR模型以及压力测试；第三,采用利率敏感性缺口模型、持续期模型以及压力测试模型,从纵向的角度对长沙银行近三年的利率风险状况进行实证研究,且从横向的角度与其他商业银行进行了对比,并根据实证结果分析了长沙银行的当前利率风险状况、与其他商业银行之间的差距以及利率风险管理模型在长沙银行的适用性；第四,根据实证结果,针对长沙银行利率风险管理现状和存在的问题,对长沙银行利率风险提出了相应对策和建议。通过以上研究内容,文章得到了以下主要结论：首先,就长沙目前的利率风险管理状况而言,通过纵向与长沙银行往年的利率风险状况进行比较发现,在利率上升的情况下,长沙银行目前的利率风险管理策略可以得到正的风险收益,但2009年-2011年以来,长沙银行没有降低利率风险的趋势,说明长沙银行利率风险管理意识较为薄弱。通过横向与同期其它银行利率风险比较发现,相较于其它银行,长沙银行面临的利率风险较大,在利率波动的情况下会给银行带来较大的损失。然后,就长沙银行利率风险管理模型方法而言,由于VaR模型对数据的严格要求以及长沙银行目前自身条件的限制,在短时期内,利率敏感性缺口和持续期缺口应成为长沙银行利率风险管理的主要方法；最后,文章针对长沙银行利率风险存在的问题提出可以从调整资产负债结构、借鉴合适的利率风险管理方法、完善利率风险管理体系等方面加强对长沙银行利率风险的管理。
[Abstract]:Because of the long-term interest rate control, interest rate marketization makes interest rate fluctuations more frequent and difficult to predict, so commercial banks are faced with severe interest rate risks, if not to prevent. Commercial banks may encounter losses. Based on this, this paper takes Changsha Bank as the research object, through collecting its annual report data from 2009 to 2011. This paper makes an empirical study on the interest rate risk management in the past three years. The main work of this paper is as follows: first, it expounds the basic concept of interest rate risk and interest rate risk management of commercial banks. Lay a theoretical foundation for the follow-up study; Secondly, the general situation of domestic commercial banks' interest rate risk is expounded, and the common interest rate risk management models are summarized: interest rate sensitivity gap model, duration gap model and VaR model, as well as stress testing; Thirdly, using interest rate sensitivity gap model, duration model and stress test model, the paper makes an empirical study on the interest rate risk of Changsha Bank in the past three years from a vertical point of view. And from the perspective of horizontal comparison with other commercial banks, and based on the empirical results of Changsha Bank's current interest rate risk situation. The gap with other commercial banks and the applicability of interest rate risk management model in Changsha Bank; In 4th, according to the empirical results, according to the current situation and existing problems of interest rate risk management in Changsha Bank, the author puts forward the corresponding countermeasures and suggestions to Changsha Bank interest rate risk. Through the above research, the paper gets the following main conclusions: first of all, on the current interest rate risk management in Changsha, through longitudinal and Changsha bank interest rate risk in previous years to find out. In the case of interest rate rise, Changsha Bank's current interest rate risk management strategy can get positive risk returns, but since 2009 to 2011, Changsha Bank has not reduced the trend of interest rate risk. Changsha Bank interest rate risk management awareness is relatively weak. Through horizontal and other bank interest rate risk comparison found that compared with other banks Changsha Bank is facing a larger interest rate risk. In the case of interest rate fluctuations will bring a large loss to the bank. Then, on the Changsha Bank interest rate risk management model approach. Because of the strict requirement of VaR model and the limitation of Changsha Bank's current condition, the interest rate sensitivity gap and duration gap should become the main method of interest rate risk management in a short period of time. Finally, according to the problems of interest rate risk in Changsha Bank, this paper puts forward that we can adjust the structure of assets and liabilities and learn from the appropriate method of interest rate risk management. Improve the interest rate risk management system and other aspects to strengthen the Changsha Bank interest rate risk management.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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