中国商业银行利率风险管理：方法、完善及展望

发布时间：2018-01-19 03:22

本文关键词： 利率风险 RAROC模型久期缺口利率敏感性缺口衍生工具　出处：《郑州大学》2012年硕士论文　论文类型：学位论文

【摘要】：利率作为货币的价格,在调节金融资源配置方面具有重要的作用,但利率的这种功能的有效发挥需较发达的金融市场作为支撑。我国的金融市场基础薄弱、发展滞后,这在一定程度上抑制了利率调节金融资源的有效性。作为金融市场中最重要的参与主体商业银行,在发展的初期其商业职能服从于行政命令导致商业功能不明显,利率风险不突出,随着金融市场的不断改革,其商业化功能不断完善,体系不断健全,面对较多的利率风险因素和较复杂的利率风险,这些风险主要形成于商业银行定价能力的弱化、商业银行资本的弱化和相关主体的行为的变化。可见,现阶段我国的商业银行与利率风险处于比较复杂的环境中,我国的商业银行如何采取适合自身发展程度的利率风险管理策略至关重要。在充分的认识我国商业银行利率风险的基础上,分析了我国商业现阶段采取的利率风险管理方法的主要缺陷。鉴于现阶段我国商业银行整体抗利率风险能力较弱的情况,我国商业银行主要采取缺口管理的利率风险管理方法,西方那种发达的衍生工具管理方法只是起着辅助的作用。这主要是由于：第一,我国的金融市场的基础比较薄弱,衍生工具的高杠杆性极易产生损失。第二,投资者的逐利意识较强、风险意识薄弱、自律能力不足和违规操作频发。第三,在缺口管理方面。缺口管理目前是我国商业银行普遍采取的一种利率风险管理方法,但是这种方法需要精确的数据分类、对利率较为准确的预测和收益率曲线的稳定变化。这些条件在现实中都很难实现,从而限制了这种方法的有效应用。针对我国商业银行利率风险管理过程中出现的问题,提出通过借鉴国外商业银行利率风险管理的经验、加强资本管理和完善内部控制进行完善的思路。国外商业银行行利率风险管理的经验告诉我们要完善金融市场的建设、开发新的利率风险管理产品和培养高水平的利率技术使用人员。资本管理是要改变过去那种只进行数量上的融资的策略,要进行适度的资本头寸控制,以此增强商业银行的抗风险能力。完善内部控制方面,要重点理顺国有商业银行与政府之间的关系,继续完善内部治理结构。这些措施的实施在于加强商业银行自身管理利率风险的内在力量,这样才能使商业银行在面对利率剧烈波动时不至于产生系统性的冲击。最后,中国的利率市场化必然会不断推进,十二五时期已经明确指出要建立起基本的利率体系。鉴于利率市场化不断推进对商业银行的利率风险的影响,要在宏观上做好顶层设计和微观上技术突破。
[Abstract]:As the price of money, interest rate plays an important role in regulating the allocation of financial resources, but the effective use of this function of interest rate needs more developed financial market as the support. The financial market foundation of our country is weak. Development lags behind, which to some extent inhibits the effectiveness of interest rate regulation of financial resources. As the most important participant in the financial market commercial banks. In the early stage of development, its commercial function is not obvious from the executive order, interest rate risk is not prominent, with the continuous reform of the financial market, its commercial function is constantly improved, the system is constantly perfect. In the face of more interest rate risk factors and more complex interest rate risk, these risks are mainly formed in the weakening of the pricing power of commercial banks, the weakening of commercial banks' capital and the changes in the behavior of relevant subjects. At present, the commercial banks and interest rate risk in our country are in a more complex environment. It is very important for the commercial banks in our country to adopt the interest rate risk management strategy suitable for their own development. On the basis of fully understanding the interest rate risk of commercial banks in China. This paper analyzes the main defects of the interest rate risk management methods adopted by Chinese commercial banks at the present stage, in view of the weak ability of the Chinese commercial banks to resist interest rate risk as a whole. China's commercial banks mainly adopt the gap management of interest rate risk management method, the western developed derivative management method only plays an auxiliary role. This is mainly due to: first. The foundation of our financial market is relatively weak, and the high leverage of derivatives is easy to produce losses. Second, investors have a strong sense of profit driven, weak awareness of risk, lack of self-discipline and frequent illegal operations. In the aspect of gap management, gap management is a common interest rate risk management method adopted by commercial banks in China, but this method needs accurate data classification. The more accurate prediction of interest rate and the stable change of yield curve are very difficult to realize in reality, which limits the effective application of this method. Aiming at the problems in the process of interest rate risk management of commercial banks in China, this paper puts forward the experience of interest rate risk management of foreign commercial banks. The experience of foreign commercial banks' interest rate risk management tells us to perfect the construction of financial market. Develop new interest rate risk management products and train high level of interest rate technical personnel. Capital management is to change the past strategy of quantitative financing and to carry out moderate capital position control. In order to enhance the ability of commercial banks to resist risks and improve the internal control, we should focus on the relationship between state-owned commercial banks and the government. Continue to improve the internal governance structure. The implementation of these measures lies in strengthening the internal strength of commercial banks to manage interest rate risk. Only in this way, commercial banks will not have a systematic impact in the face of sharp fluctuations in interest rates. Finally, China's interest rate marketization will inevitably continue to advance, the 12th Five-Year Plan period has clearly pointed out that the establishment of a basic interest rate system, in view of the interest rate marketization of the impact on the interest rate risk of commercial banks. We should do a good job in macro-level design and micro-technical breakthroughs.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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