利率市场化背景下宁波银行利率风险管理研究

发布时间：2018-01-25 17:37

本文关键词： 利率市场化商业银行利率风险管理　出处：《宁波大学》2015年硕士论文　论文类型：学位论文

【摘要】：利率市场化是金融改革的头等大事,自西方发达国家利率市场化进程以来,商业银行在利率市场化背景下的利率风险管理受到了社会各界的关注。2013年7月20日,中国人民银行全面放开了金融机构的贷款利率限制,各金融机构可以根据资金市场的供求关系来自行决定贷款利率。尽管当前贷款基准利率仍然是由中国人民银行所公布,但是这一举措无疑在很大程度上推动了利率市场化改革的进程,将利率的定价权逐步从政府转移到了市场。那么作为商业银行,在面对利率市场化改革的过程中,无疑会面临着巨大的利率风险。众所周知,商业银行是低资本经营,谨慎性原则是其经营管理的首要准则,在面临未来利率风险的背景下,商业银行应当如何进行风险管理,这是非常重要的课题。本文分六部分对宁波银行利率风险管理问题展开了研究,主要得到了以下几方面研究结论:第一,宁波银行当前存在着较大的利率风险,具体来说表现在重新定价风险、基准风险、收益率曲线风险及选择权风险等四个方面。第二,通过对宁波银行利率风险管理的现状进行分析,发现其存在着较多的问题与不足,表现在收入结构单一化,业务过于集中;资本充足率不高,核心竞争力较低;风险管理体制不健全,金融产品定价机制未建立;利率风险工具使用相对欠缺;意识淡薄,风险管理人才缺乏;外部监管体系不完善等六个方面。第三,本文对此提出了相应的解决对策与建议。
[Abstract]:Interest rate marketization is the most important task of financial reform, since the process of interest rate marketization in western developed countries. The interest rate risk management of commercial banks under the background of interest rate marketization has been concerned by all walks of life. In July 20th 2013, the people's Bank of China completely liberalized the interest rate restriction of financial institutions. Financial institutions may decide on their own the lending rate according to the supply and demand of the capital market, although the current benchmark lending rate is still announced by the people's Bank of China. But this move undoubtedly promoted the interest rate marketization reform process to a large extent, gradually transferred the pricing power of interest rate from the government to the market. So as a commercial bank. In the process of interest rate marketization reform, there is no doubt that there will be a huge interest rate risk. As we all know, commercial banks are low capital management, the principle of prudence is the first principle of its management. Under the background of facing the future interest rate risk, it is very important for the commercial bank to carry out the risk management. This paper studies the interest rate risk management of Ningbo Bank in six parts. The main conclusions are as follows: first, Ningbo Bank currently has a large interest rate risk, specifically in the re-pricing risk, benchmark risk. Yield curve risk and option risk. Second, through the analysis of the current situation of interest rate risk management of Ningbo Bank, we find that there are many problems and shortcomings, which is manifested in the income structure of the single. Business is too centralized; The capital adequacy ratio is not high and the core competitiveness is low; The risk management system is not perfect and the pricing mechanism of financial products has not been established; The use of interest rate risk tools is relatively inadequate; Weak consciousness, lack of risk management personnel; The external supervision system is imperfect and so on. Third, this paper puts forward the corresponding countermeasures and suggestions.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.2

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