基于利率敏感性缺口模型的商业银行风险管理比较研究

发布时间：2018-04-14 20:22

本文选题：商业银行 + 利率风险　；参考：《浙江大学》2015年硕士论文

【摘要】：中国利率市场化改革已进入深水区,利率风险也开始成为中国商业银行的主要风险之一。本文以2006～2014年中国7家上市银行与中东地区7家上市银行为样本,通过数据处理与分析,运用利率敏感性缺口模型中的利率敏感性缺口、利率敏感性缺口率,利率敏感性比率和偏离度这四项指标进行实证分析并对实证结果进行对比分析。结果显示,中国商业银行存在,中长期资产负债匹配不均衡,大型商业银行中严重的“短借长贷”现象,国有银行的利率风险管理水平与灵活度普遍要弱于股份制银行思维重视程度不够,利率走势预测技术缺乏等问题。而中东地区商业银行除了存在中国商业银行的问题以外,风险战略较为激进,对利率风险管理没有合理的战略规划,缺少专业风险管理人员。笔者认为,中国商业银行要防范利率风险,一方面,需设立专门的资产负债管理委员会,以加强利率走势预测能力与人才队伍的培养,并进一步开发利率风险度量模型；另一方面,需要优化资产负债业务,扩大非利息收入占比。对于中东地区商业银行而言,需要在风险管理和战略规划上做更多努力。
[Abstract]:China's interest rate marketization reform has entered deep water area, and interest rate risk has become one of the main risks of Chinese commercial banks.From 2006 to 2014, seven listed banks in China and seven listed banks in the Middle East are taken as samples. Through data processing and analysis, the interest rate sensitivity gap and the rate of interest rate sensitivity gap in the interest rate sensitivity gap model are used.The four indicators of interest rate sensitivity and deviation are analyzed empirically and the empirical results are compared.The results show that China's commercial banks have mismatched assets and liabilities in the medium and long term, and the phenomenon of "short borrowing and long loan" is serious in large commercial banks.The level and flexibility of interest rate risk management of state-owned banks are generally weaker than those of joint-stock banks.In addition to the problems of Chinese commercial banks in the Middle East, the risk strategy is more radical, there is no reasonable strategic planning for interest rate risk management, lack of professional risk management personnel.The author thinks that in order to guard against interest rate risk, Chinese commercial banks should set up special asset-liability management committee on the one hand, to strengthen the ability of forecasting interest rate trend and the cultivation of qualified personnel, and further develop the interest rate risk measurement model.On the other hand, need to optimize assets and liabilities business, expand the proportion of non-interest income.For commercial banks in the Middle East, more needs to be done on risk management and strategic planning.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

【参考文献】