利率市场化进程中我国商业银行的利率风险管理研究
发布时间：2018-07-29 16:53
【摘要】：经济全球化的迅速发展使得金融市场在最近几十年间发生了非常巨大的变化，尽管我们可以用各种不同的方法来说明金融市场上发生的一切，但从一定意义上来说，，金融市场上所发生的这些改变都可以集中体现在利率上。利率风险已经成为了商业银行面临的最重要的金融风险之一，广泛引起了各国货币管理当局和经济学家的高度重视。因此，在我国进行利率市场化的过程中，探讨利率变化对商业银行影响的研究具有重要的理论价值和现实意义。 本文以我国商业银行利率风险管理研究为主线，通过梳理利率的变化对经济活动的影响和利率的传导机制，发达国家对我国利率市场化进程的借鉴意义以及中国目前的利率市场化进程来分析我国商业银行目前所面临的主要利率风险和相应的度量方法。通过采用理论和实证相结合的方式来研究我国商业银行的利率风险管理状况和利率波动对商业银行盈利能力的经营绩效研究。最后，通过介绍商业银行利率风险管理的方法，基于金融工程的思想建立一个基于浮动利率情况下的欧式看涨外汇期权模型，并提出适应现阶段我国商业银行进行利率风险管理的相关措施，从而提升利率市场化过程中我国商业银行面临的各种挑战。
[Abstract]:With the rapid development of economic globalization, the financial market has undergone great changes in recent decades. Although we can use various methods to explain what is happening in the financial market, in a certain sense, These changes in financial markets can be concentrated on interest rates. Interest rate risk has become one of the most important financial risks faced by commercial banks. Therefore, in the process of interest rate marketization in China, it is of great theoretical value and practical significance to study the influence of interest rate change on commercial banks. Based on the study of interest rate risk management of commercial banks in China, this paper analyzes the influence of the change of interest rate on economic activity and the transmission mechanism of interest rate. The significance of the developed countries to the interest rate marketization process in China and the current interest rate marketization process in China are analyzed to analyze the main interest rate risks and the corresponding measurement methods faced by the commercial banks in China at present. This paper studies the management of interest rate risk and the performance of interest rate fluctuation on the profitability of commercial banks through the combination of theory and demonstration. Finally, by introducing the methods of interest rate risk management in commercial banks, a European call foreign exchange option model based on floating interest rate is established based on the idea of financial engineering. This paper also puts forward some relevant measures to adapt to the interest rate risk management of Chinese commercial banks at the present stage so as to enhance the challenges faced by Chinese commercial banks in the process of interest rate marketization.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F822.0
本文编号：2153355
[Abstract]:With the rapid development of economic globalization, the financial market has undergone great changes in recent decades. Although we can use various methods to explain what is happening in the financial market, in a certain sense, These changes in financial markets can be concentrated on interest rates. Interest rate risk has become one of the most important financial risks faced by commercial banks. Therefore, in the process of interest rate marketization in China, it is of great theoretical value and practical significance to study the influence of interest rate change on commercial banks. Based on the study of interest rate risk management of commercial banks in China, this paper analyzes the influence of the change of interest rate on economic activity and the transmission mechanism of interest rate. The significance of the developed countries to the interest rate marketization process in China and the current interest rate marketization process in China are analyzed to analyze the main interest rate risks and the corresponding measurement methods faced by the commercial banks in China at present. This paper studies the management of interest rate risk and the performance of interest rate fluctuation on the profitability of commercial banks through the combination of theory and demonstration. Finally, by introducing the methods of interest rate risk management in commercial banks, a European call foreign exchange option model based on floating interest rate is established based on the idea of financial engineering. This paper also puts forward some relevant measures to adapt to the interest rate risk management of Chinese commercial banks at the present stage so as to enhance the challenges faced by Chinese commercial banks in the process of interest rate marketization.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F822.0
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